Why do moderators have the ability to read everyone's private messages?

I don’t understand how intruding on people’s private communications is fair, ethical, or necessary. If there was a specific incident that would elicit banishment, i.e., threatening, harassing, etc., then a mod can be notified and he/she will investigate. But what’s to stop mods from abusing this privilege by reading all personal exchanges? Nothing. Do they screen everyone’s messages for possible alerts? Do they just read anything they feel like intruding upon? What’s the deal?