Private replies come with a notification that reads: "This is a private reply. It is not visible to other participants."
Which makes sense for the person receiving it. However, as per design, other teachers in the course, as well as admins, can see this reply and get notified.
In this case this sentence causes some confusion as the other teachers might think the message is for them, or that something is wrong and they shouldn't have been able to see the message.
I think the language can be improved to clarify. Perhaps something like: "This is a private reply. It is only visible to you and the teachers in this course."