It’s a completely different service/protocol. Activitypub (the protocol lemmy and similar fedi software uses to federate) is not well suited for encrypted communications. The main motivation is maintaining privacy.
Matrix isn’t integrated into lemmy: if you want to have an account for that, you’ll have to make one on a matrix server. Matrix.org is the mainstream one. I see you’re a hexbear user, so genzedong.xyz may also interest you.
The only “integration” at the moment is a UI shortcut for messaging an associated matrix account.
This is more of a support question, related to using Lemmy. Please see the sidebar for a list of communities that offer support. Removing under rule #3.
Send secure message takes you to matrix, which is a dedicated messaging project which has encryption.
Send message uses lemmy, which uses federation which is basically public (well I’m not exactly sure if the messages are public like the rest of the activity but the message is sent and saved in plain text, so at least the instance admins can read them)