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…
Meh. Nobody should be surprised by any of this in the slightest. If your employer provides / pays for any kind of communications tool, the only sane position is to assume that they can - and probably do - monitor every single byte you send.
There are a number of things I might mention to a coworker over a private IM which wouldn't necessarily put my employment at risk, but would be awkward for management to suddenly have access to.
A couple made up examples:
"I'm super sick, but $boss is really pushing me to get the report out. I just want to go home and be sick all alone."
"I hate management's decision to reduce vacation days. No wonder we can't keep people around here."
"Did you see Tom's email? It's kinda awkward that he thinks he's a strong contributor to the group..."