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Using your own node is marginally more private than syncing with compact filters:
- A full node downloads all blocks
- A compact filter node downloads the blocks that contain their transactions, plus a few false positives
If you have a lot of peers connected, compact filter sync is sufficiently private.
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It is equally private. If you don't connect to your own node, you'll request the compact block filters from the Bitcoin network. You don't request addresses or transactions from the nodes.
It's just a little slower, but speed improved in the latest version.
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How private is Wasabi Wallet if don't connect it to my own node?