I've tested Privacy button on Windows and it works. I see that it should log a warning if it fails to open. Would you have time to see if it does log anything after clicking privacy button? The log will be in ~/.config/unity3d/All Parts Connected/Sipho/Player.log Just click the button and look for "Failed to get data privacy page URL..."
Only log I got about that in Player.log is https://pastebin.com/zgnFuwx6 which is chromium telling me he tried to open it in an already opened chrome session but I didn't see any opened tabs when alt-tabbing.