I work for a large company, many many years ago I did use the company address to send my bank statements there as I was living in a shitty place in San Po Kong, no front gate, no security, old place and I thought it would be safer to send it to the company, every time I rec'd my letters from the bank it would be pre-opened. I just accepted it as it was the company address I was using, in the end they told me to stop using the companies address and by that time I had moved to a better place.
If you use the companies address, regardless where your from "Oh in my country they dont do that" blah blah blah, just accept it that they will open it, regardless if its say Private / Confidential. If you dont like it then dont send it to your work.