Hi
Its been hidden and by default when i checked mine after the update it was turned off!!
To find it , click on the search button (bottom right) click menu then search settings, then searchable items, tick them all, then press the back button twice, then type privacy into the search box, you should then see the Privacy setting button appear, click on that and hey presto its there.
No idea why they have hidden it or turned it off by default!!
Hope this helps.
Pete