Well, the communication is still broadcast, it’s just that the message contains an address field. Every device still receives the message but the software running on a receiving node checks the address field in the message and only processes the message, or acts on its content, if the address matches its own.
To make communications end-to-end ‘private’, you would need some method of message encoding that depended on something like a key that was only known to the sender and intended recipient. Once again, the message would be broadcast, anyone operating on the relevant frequency could receive it, but only a device with an appropriate key could actually make sense of the message.
Off course there are many more sophisticated methods for ensuring privacy in wireless communications, but the discussion here is just in relation to simple, single frequency LoRa communications.