So the only lack of privacy is between you and the other peer in whatever payment details you need to provide in order to get the fiat payment from one person to the other. I have not used zelle myself so I’m not sure exactly what info is shared. But zelle doesn’t know that this was a bitcoin exchange they just know you sent fiat to another person. So the privacy is a good as it can be using fiat payment rails. Definitely a lot more private that a CEX.