@Things like that shouldn't exist if they aren't actually private (and they aren't). It's bad UI design. Expecting users to reason effectively about this is malpractice.
@abhayakaraTed Lemon Private mentions on Mastodon are as private as email. That's pretty good, but it can be better.
If you have a fediverse account, you can quote this note from your own instance. Search https://cosocial.ca/users/evan/statuses/115662902893465103 on your instance and quote it. (Note that quoting is not supported in Mastodon.)