Wait! This does not mean they do not scan it. What I understand from that statement is that they filter explicit content, as in they prevent it from appearing on the user's screen.
When you enable the "NSFW" mode, you tell Discord "it's okay, don't filter out anything". But Discord probably still scans everything.
So that makes sense to me: if you don't validate your age, then Discord will not allow you to join channels that disable the "adult" filtering. I can personally live without adult content on Discord...
They can read everything that you send already, if your problem is that they may filter something that they consider NSFW and you don't... well I am not sure how big of a problem that is.