You're welcome to share it if you want. One of the reasons we don't publicise them is to protect the privacy of those we are sending the message to. We don't want to broadcast what we think you've done wrong. You can discuss the message privately with the moderators by replying to the message or sending a message to the community team.
However, if you want to make it public there's nothing we can do (nor want to do) to prevent you doing just that, whether it's here on the Stack Exchange network or anywhere else on the internet.
The only people not allowed to publicly share mod messages are moderators.