Self-DMs aren’t a thing as far as I know. Everything is just a room.

Simple solution

1. Create a private room “Notes” (or whatever name you want to give it).
2. In Element, enter /converttodm into the room’s chat.

Congratulations, you’re done!

I don’t have Element or the /converttodm command.

1. Edit the account data m.direct. Add your Matrix ID as a new JSON key and the room ID (found in the URL and room settings) as a value inside an array. e.g. "@jaller94:matrix.org": ["!sdHgPstESAFiClydNV:matrix.org"],.

Optional bonus step for DM purists:

1. Edit the state m.room.name so that the name is an empty string. (Not recommended, because the room will be called “Empty room” in Element. But hey… that’s how DM rooms work.)

Single player: Hades
Multiplayer: Deep Rock Galactic, Euro Truck Simulator 2