Please follow https://www.shamimsplugins.com/docs/front-end-pm-pro/getting-started-2/only-admin/

For groups, all users need to be added to that group. And they may see other users message which is not sent to them.
Better add other users to that conversation so that they can see only that conversation.

Eg. You can add following code in your theme’s (child theme’s if any) functions.php, change $your_extra_user_ids values

add_filter('fep_filter_message_before_send', function( $message ){
    $your_extra_user_ids = array( 1,2,3 );

    //Only for parent message
    if( empty( $message['fep_parent_id'] ) ){
        if( ! is_array( $message['message_to_id'] ) ){
            $message['message_to_id'] = array( $message['message_to_id'] );
        }
        $message['message_to_id'] = array_merge( $message['message_to_id'], $your_extra_user_ids );
    }
    return $message;
});