Not an expert, but I am a self hoster.
Not everything is but yes, some things can be seen. Your saved posts are only visible to your local instance admins not every admin. Your subscriptions are visible to your local admin as well the admin of the community can see you are subscribed. Your DMs are visible to your local admins as well as the recipient’s admins. Your votes and comments will be visible to all federated admins. If you report a post, that report is visible to your local admins, the community’s mods and admins, and the reported person’s instance admins.
In my honest and probably very controversial opinion, Lemmy is not more private than say using Reddit.