Yes, and no. The Americans were as of yet NOT at war with Germany (until Dec. of 1941), and as such American mail was not censured. The Vatican mail was also free from censure as it was considered diplomatic mail between the Vatican (an independent state inside Rome), and its "ambassadors" (priests, Bishops) throughout Europe. At least that is how I remember the situation which brought the T-4 Euthanasia project to the attention of the rest of the world.
While sections of the British public supported the Confederacy, the British government pursued a policy of neutrality, they even refused to see a delegation from the Confederacy. The blockade runners were funded by private enterprise, the government had nothing to do with them. In fact the government had given notice that the blockade by the Union navy was a legitimate act and that any ships that tried to run the blockade did so at their own risk.