Protect the items with a sensitivity label, and make sure that the delegates have not been granted access to the label and to IRM protected messages in the user's mailbox. The latter is done via the set of *-MailboxIRMAccess cmdlets, if you need additional details check this article: https://office365itpros.com/2022/06/09/delegate-access-encrypted-email/
Do not rely on the "private" flag, as certain clients can actually access such items (see https://ingogegenwarth.wordpress.com/2022/02/15/outlook-and-private-items/).