That's very true. But also kinda sad.
The university did greenlight this (as they had enough advanced notice of the content to request he make a change, and refused to censor him when he refused). However, the spokesman also said,
We regret that the speech was not more befitting of a graduation ceremony
Which I optimistically take to mean that they didn't find it particularly relevant either.
This is a bit new to me, as I actually have never tried a DM since I started self-hosting an instance (and as far as I know, no one has tried to DM me).
But from https://lemmy.sdf.org/post/117834 it seems that DMs on Lemmy are indeed federated - albeit to the minimum required (your instance and the instance of the person you are DMing - so for example, with me being on a single user instance, I would never see these get federated over unless someone was trying to DM me). So they don't get federated outward if DMs are going on between users on the same instance.
Fortunately that also points to a workaround - using Element.io and Matrix to send secure messages between users (when you don't want even the instance admins or Element.io or Matrix admins to see the message contents).
My only experience sending DMs on the fediverse was with a kbin.social account, but from what I recall that was for local users only (so I could DM someone else who had a kbin.social account but not someone who had a mastodon.social account, for example).