Anything you submit is public. If you delete a comment, you’re only deleting it on your local instance, and it’s still saved in the database / visible to admins. Private messages are visible to admins.
Treat it like a public phpbb forum from 2001, not like a secure, encrypted means of communication. If you wouldn’t want other people seeing what you post, don’t post it, plain and simple.
(It’s just as “safe” as any other social media, which is to say, it’s not. Use discretion, be intelligent, and think before you post - this goes for the internet as a whole, not just Lemmy.)