Frankly I find that hardening privacy on Windows manually is overwhelmingly complex and unpractical to manage for the average user.
Also many settings can be reverted after system updates and you can’t review all of them every month.
Privacy.sexy is nice and open source, has infos about what a setting is doing but it can’t detect which settings are already applied so you don’t have any overview of your current state.
I finally decided to trust a third party app O&O ShutUp10 to be able to apply and keep track of privacy settings and I’ve never had any problem.
The app clearly shows which settings are applied, which one are not recommended and could cause breakage and provides infos for every single item. Also prompts for a backup restore point before applying changes.
The software is not open source but devs are an official Microsoft Partner so that gives me some kind of trust about quality of code.
It is simple, reliable, portable, actively updated and it just works.