Not only are they not end-to-end encrypted, Bluesky's DMs seem like they're entirely centralized. From their 2024 roadmap:
> We looked closely at alternatives like linking to external services, re-using an existing protocol like Matrix, or rushing out on-protocol encrypted DMs, but ultimately decided to launch a basic centralized system to take the time pressure off our team and make our user community happy.
> We looked closely at alternatives like linking to external services, re-using an existing protocol like Matrix, or rushing out on-protocol encrypted DMs, but ultimately decided to launch a basic centralized system to take the time pressure off our team and make our user community happy.
https://docs.bsky.app/blog/2024-protocol-roadmap