Privacy ensures that your communications are kept from unintended parties, and integrity ensures that they are not changed in transit.
Except for the user names and passwords you use to login to the database, all communications between the Console and the Admin Server are sent across the wire in plain text. Therefore, they are vulnerable to prying eyes and manipulation. The database user names and passwords are encrypted before being sent across the wire.
Typically this is not a problem for COM/DCOM connections, or for SOAP connections where security is only of a moderate concern. However, if your security requirements are of a higher concern, you can best resolve privacy and integrity issues by acquiring a Server Certificate and implementing SSL on the IIS server.
See also