It is frustrating and I am generally against threads being deleted without a very good reason.
However, I've just been on a thread that has been deleted with this message.
OP got some good advice and moved her situation on. The thread had served its purpose but meanwhile it was continuing to fill up with ignorant garbage from posters who had not RTFT. It was like 'cancel the cheque' but on a really sensitive issue, so she asked for it to be taken down.
So not exactly 'privacy concerns' but I don't blame her for wanting it gone and I don't blame MN for deleting it.
Here's what they say in the talk guidelines:
Deleting a thread you have started
We don't generally delete whole threads; it's frustrating for those who've taken the time to write responses to see them removed. That said, we're here to make people's lives easier, so if you have a pressing reason for wanting a thread you started to be deleted, please report it to us and we'll take a look.
Maybe it would help if they expanded this a bit and then made the deletion message more neutral, e.g. 'Thread deleted at OP's request. Here is a link to our policy.'
Because aside from anything else, saying the OP has privacy concerns can act as a prompt for some people to rack their brains trying to remember any details that might be outing.