If I were in this position I would find the appropriate internal legal counsel and cc them on the email, including the words 'client attorney privileged and confidential' at the top. This affords some protection against discovery were the information to become relevant in legal proceedings. Taking that additional caution on behalf of the company shows professionalism on your part and will be appreciated by management who will see you're trying to contain and redress the situation rather than put the company at risk, in which case you may be seen instead as the risk.
Another thought- it's possible that your supervisor's manager is aware of the action being taken against you. You might be able to get better advice talking to someone in a different reporting chain if you can find them.
An employee is not the client of a company's legal counsel. The company is the client. So there is no expectation of confidentiality. Copying their legal team might make them more likely to act on the problem. But it won't protect the employee.
I got the impression that nezumi knew that, and was suggesting the marking as a way of protecting the current employer, to demonstrate to any more senior management who might become involved that the OP is not just trying to make trouble.
Whether that would actually help here and whether such markings have any weight in whatever legal system the OP is operating within are different questions, of course.
You misunderstood. CC'ing the counsel is a gesture of good faith towards the company, insuring that the company is protected and emphasizing that you aren't looking to start legal action.
Another thought- it's possible that your supervisor's manager is aware of the action being taken against you. You might be able to get better advice talking to someone in a different reporting chain if you can find them.