Everything you do in Lemmy is not private. Your instance needs to send everything to other instances, and the data is stored unencrypted in the database. Every time you vote on a post that action is sent to every other instance that has a subscribing user in that community. You can see that in action here: lemvotes.org

For DMs, they are only stored in the sending and receiving instance, but for sure the sys admins of those two instances can look in their database and see the messages in plain text.

Lemmy allows you to enter your Matrix ID in your profile, then (at least in the default Lemmy site) a new button appears on your profile page for others, who can click the button to secure message you on Matrix (which is E2E encrypted).