Yes, but that can happen IRL, too. There is no full expectation of privacy, anyway, but there are more and less private places.
When you put something on the internet where it is accessible to some then it could become accessible to all. People think they're in 'private' Discord servers, meanwhile there's a bot in the same server scraping everything. Similar thing would happen with a relay.
https://www.404media.co/a-spy-site-is-scraping-discord-and-selling-users-messages/
Discussion
A private relay is only as private as the users and operator of the relay want it to be