How do Privacy Levels work?

I'll put it as simple as I can, because it isn't easy and the articles don't always help.

There are four privacy levels:

1. Private
2. Organizational
3. Public
4. None

Privacy levels prevent queries from passing data to each other when it would be a problem. For example, if you had a payroll report that had a social securty number in it and you were querying employee pay data vs an online report of competitive payroll rates to do a comparison, it is possible that Power Query would, rather than bring both data source in locally before merging, pass some personal info  (employee ID, ss#, etc) to the online source. Privacy levels prevent this.

None means there is no level set. Generally, in Excel, I always set it globally to none. Do that at your own risk, but all of my PQ stuff is company related and I don't want to fool with privacy levels between an on-prem SQL server and SharePoint list. I just want it to work.

Power BI handles privacy levels much better than Excel, so there I do it more correctly. I think it is because Power BI uses one user (report author or gateway) as the one with the permissions, and Excel does it for every single user that opens the file, so it is a mess.

Private data cannot be shared with any other queries. 2 private queries cannot talk to each other. They are private. You can only join/relate/use them together in the Power BI Data Model, where no communication goes back to the source anyway.

Organiziational Data can all talk to each other. CSV files on a network drive, SQL data, SharePoint LIsts, and even Salesforce.com and other online services, if marked "Organizational" can all talk to each other, so be careful. They cannot communicate with private or public sources. 

Public means anything goes. So I typically mark web pages I query as public. Public can talk to other public, but are blocked from talking to org/private.

Make a bit more sense?

Short answer - in Excel, turn it off. In Power BI, use it wisely as intended.