Yes, the Account Activity is designed to send all events related to the accounts you are subscribed to. It is common to ‘drop’ events that are not important to your app. For example, chatbots are typically only interested in DM events, and may decide to ignore events like Favorites happening around their account. Note that you need to respond with a ‘200’/success response code for all received events (even the ones you drop) so the Twitter side knows you received the webhook event.
And note that DMs are not sent with the Account Activity API, but with the DM API, and the Account Activity API sends webhook events around those DM messages.