I didn't explicitly request it to remain private so it's a moot point at best.
It seems self evident, implied by the terminology used to described the missive, and directly by the nomenclature itself, i.e. "Private Message." Perhaps such a simple phrase isn't pedantic enough to avoid being misunderstood by nullius?
It's actually a "personal message" and if you send something to someone, particularly unsolicited, you shouldn't start with an expectation of absolute privacy for a number of reasons, some of which don't even depend on the recipient (for example PMs often get forwarded to e-mail, so there's that).
Then there is the actual content, for example if someone sends me a plan to scam someone I can't guarantee I'll keep that private. On the other hand, I can't think of a plausible (even a hypothetical) reason to disclose any of the PMs that I got from or sent to nullius so I'm somewhat surprised that he thinks otherwise but whatever. I don't think I sent him any of my secret world domination plans.