I've seen this feature you're talking about in Outlook. It's worse than useless. All it is is a Microsoft-specific header that goes into the email message that alerts the reader that a message is private. It provides no actual security.
Just typing PRIVATE or CONFIDENTIAL in the subject line gives the same effect. Outlook is the only mail client that you're going to find with this "feature" as it requires that both the sender and recipient be using Outlook for email. Other email clients ignore the header.
Totally pointless.