Apple's private relay service is sort of Apple's VPN-like service. It only covers traffic from safari. I tend to "trust" apple, with a grain of salt, when it comes to privacy because they are predominately a hardware company. Obviously, not real "trust", but I see their incentive would be to protect my privacy because they want me to buy more of their hardware.
The private relay only works with safari, so that is annoying. Not all your traffic goes through the service. Not sure why that is.