Hi Lucas,
Putting this snippet in your bp-custom.php will set the default message privacy to friends only

add_filter( 'bpdmp_default_settings', 'buddydev_set_message_privacy_default');
function buddydev_set_message_privacy_default( $settings ) {

	$settings['privacy_type'] ='friends_only';

	return $settings;
}

Hope that helps.