If you would like to update the privacy settings of your highlights, first navigate to the Highlights tab in the side navigation. From here, you can select My Highlights to see the highlights that you have created. If you would like to filter down to see your private highlights, use the filters found on the left. Open the privacy filter and select "private".
In order to change the privacy setting of the highlight, select the drop-down right underneath the title of the highlight. From here, you can update the privacy of the highlight to make it visible to those in your collection (protected) or visible to anyone on the internet (public)