Once you create a Reference model you can then enable the Data privacy analysis functionality to evaluate sensitivity of your captured data. The data privacy settings are designed around European General Data Protection Regulation. You can also read this support article about how to categorize data that do contain private information.
Enable the ref model
Select the ref model and switch the toggle "Data privacy enabled" in the "DETAILS" tab.
Enable each node
You can make any node, at any level, "Data privacy enabled". Toggle the switch in the Data privacy tab.
For Salesforce Org model this is set automatically at field level.
Enable all children nodes
You can also enable multiple nodes at the same time. Select a node, and on the right panel toggle the second switch in the Data privacy tab.