The NSA may have them but most likely only in their encrypted form, which isn’t very useful. This “Signal” app is a point to point communication tool that doesn’t use MMS/SMS, it is a network application between two people. The contents are encrypted.
Unless the phone they’re using is compromised or the person at the other end does a screen capture (most likely) the NSA don’t have anything.
You must operate on the theory that the NSA can crack any encryption.