Previously, you could only see employee DMs if you turned on Compliance Exports, at which point you could download all of them going forward . Now it sounds like everything you've ever written could be downloaded at any time without notice. So, all of those communications you had with co-workers based on the promise they would be private until you were notified future ones wouldn't be anymore? Now it's ALL available…
why presumably due to GDPR? I would think it was a possible GDPR problem for them in the future. Specifically, you wrote it based on expectation it was private and now it is not, when did you give permission for sharing that data?
You have no right to privacy when you're inside your company's office using your company's computers to access your company's network. They own it all, you just have permission to use it within the guidelines they set and you signed off on when you were hired.