I'd be interested in knowing what Facebook's privacy policies are regarding private messages. Are they data mined? Did the congrats on the baby message result in baby related advertising?
I suspect Facebook treats them as "direct messages" (i.e. there's no illusion Facebook doesn't know the contents) and not "private messages", if their normal attitude toward privacy is anything to go by.
Bearing in mind there are Facebook advertisers unsophisticated enough not to bother filtering on "interested in" before showing dating ads, it seems far more likely that she'd be shown a baby ad coincidentally.