That depends on your definition of privacy. Can you elaborate ?
Compared to reddit no lemmy instance is tracking your usage metadata, and it does not share any identifiable data with other Fediverse instances other than what you explicitly share on the platform.
Most of the time it would be DNS 😆, glad you figured it out, I have been in your situation before. Just a heads up! Cloudflare TOS does not allow video streaming unless you are a paid customer, they could ban you if you stream a lot through CF. I got away with less than 4GB per month.