Anyone know how to check if this is happening to their emails, as I now want to see if mine are being looked at like this??
There’s no way you can readily check. Even if you could reliably test for the situation the OP describes, there’s a dozen other (better) ways of storing email. Without direct access to the mail server it’s impossible to tell who’s doing what, and even then there could be other things upstream; your mail could be filtered by a third party before it hits your server and / or after it leaves, for a number of reasons.
If you’re concerned, your best course of action is probably just to ask your employer. Remember, they are legally obliged to tell you if they’re accessing your email or monitoring your internet usage, so even if they tell you they don’t and are lying that means they subsequently can’t use it against you without breaking the law.