Jerboa doesn't support DMs yet, it's very new. Also, you should know that Lemmy's DMs are not at all secure, and federated just like public posts, meaning admins can read them if they choose to. I'd suggest you use something like Matrix (sometimes known as Element) to DM people. :)
as an abstract thought... I have not seen a technical reason prohibiting federated e2e encrypted messages at some point in the future. so, when development can shift immediate focus from the "must-haves" and toward the "nice-to-haves", we may well get secure, private, on-network DMs.
I think the normal issue prohibiting e2e encrypted messages being actually good is that end to end encryption requires keys, and keys require verification, and verification requires a trusted outside channel.
As it stands I would want a secure line to some random user I don't know anything about, so I need a key. Where do I get a user's key? I ask the same untrusted admin of their lemmy instance for it and they give it to me. How do I validate this key is actually this user's? I don't, I just trust the key the admin gave me. Then I encrypt my message and send it over.
So it protects against an honest instance being attacked later. Or against a shortsighted admin who might feel a little like peeking but hadn't thought about being dishonest yet.
But in exchange for a smidge of security, what you gain is that new clients can't read any DM you received before you started using it, or a buggy client who hasn't synced the keys lately sending a message that only 2 of your clients can read but not the one you're using right now. Or a phone falling into a toilet and effectively taking all your DMs with it because either there was no UI to back up your keys, or there was one but you didn't use it because no one ever uses it, or there is a UI to backup the keys but no UI to import them on the next client, etc.
In most cases I'd just want to DM somebody to ask about something on Lemmy (i.e. message a mod) so nothing that I'd be too worried about privacy with, but yeah I kinda assumed they're not super secure.
You can click on a user name to send a private message, but it doesn't save the sent private message anywhere. You get replies to your inbox, but no copy of the sent message can be viewed.
Lemmy lacks the ability to deal with private messages in a dedicated space which is something that's lacking I think. It lumps private messages in with community messages, but I think that's confusing. I suppose I could live with it, but the failure to show sent private messages anywhere is a problem for me.