People sending unwanted DMs is an obvious reason. At the very least, users should be able to report DMs and then that should allow for moderation.

It's very common in some spaces to get people who send unwanted (spam/harassment/etc) DMs to tons of people. Just expecting everyone to block those people makes for a horrible user experience, because it means new users might be suddenly met by a bunch of unwanted DMs from aggressive randos that remain unbanned. You really need to be able to ban these people (and that means being able to verify that they did what they're accused of).

Reporting features on apps often send a copy of the message to the central gatekeeper.

This is not the same as scanning all messages (which makes E2EE moot).