According to this post on Canadian Headhunter, PIN-to-PIN Blackberry messages that are sent between Blackberries that are on your company's Blackberry Enterprise Server can be captured and archived by your company. Not that this is surprising: if the company provides you with the server solution, they will monitor the communications over that solution.
The post suggests getting your own Blackberry through your own ISP that's linked to your private e-mail account. While this is an ok solution, if you are going to do that, I would suggest going with a Treo 650 or other phone that is more elegantly designed than the Blackberry device because there's really no need for the Blackberry if you aren't using a BES solution. Here's an even more novel idea: don't send messages via company communications that can get you fired.