Multiple direct messages — called "multi-DMs" for short — are a way to start a private conversation with multiple members rapidly on the fly. The major difference between a multi-DM and a private room is that a private room requires you to create an official room from the left sidebar under the Rooms header. This involves inviting members and setting a name.
By contrast, a multi-DM works just like a direct message. Just click the Direct Messages header and select as many members as you'd like to message. There are no notifications controls in a multi-DM (unlike in a private room) since all messages are considered direct.
Use multi-DMs when:
1. You have a few things to say to multiple people that don't fall under existing room topics.
2. You want to chat informally with multiple people without creating an official room.
3. You want to create an on-the-fly conversation.