I’ve never been under the impression that privacy relay is anything like a true VPN. I mostly thought it stopped BS that happens on public WiFi and public sniffing. It’s meant to protect you only until you get to a major carriers infrastructure.

The design is supposed to be better than a true VPN, because neither Apple nor the exit node (Akamai, Cloudflare, Fastly) are supposed to know both who you are and what you’re doing. Of course, Apple pays them for this service, so they could exchange info.