Thank you Stefano!
And sorry; I didn't told you that WPML is running on this website.
To enable the Privacy checkbox, I switched to "all languages" to see this option.
(Main profile fields > Privacy checkbox/notice > Enabled?: YES)
Surprise: When I added the Privacy URL: https://titanick.de/datenschutz/ ("all languages" switched!) the link works.
But how to deal with the URL for the french and english policy?