Does skipping "device enrollment" make files inaccesible to supervisor?
No, it doesn't mean that files, etc. are inaccessible to administrators as such.

When you have booted macOS from the external drive, and haven't enrolled, you're running the default software supplied by Apple alongside your own custom modifications.

However when you're booting from the built-in drive, you're running on an enrolled installation that potentially contains other configurations and software supplied by your employer.

If that software allows your employer to access external drives, then the file on your external drive are accessible by your employer. It is technically possible, but we cannot know whether or not your employer has installed such software.