I received it free with my Signature X, but I don't know if it's included with production X's. Here are pictures of both the Parcel shelf and the privacy cover that is attached to the rear lift back hatch. I haven't tried it yet, but from the looks of Model S parcel shelf, it doesn't appear it will fit the Model X hatch.
In terms of privacy, the rear windows are heavily tinted, so in most cases the privacy screen or parcel shelf don't add a significant amount of privacy to the rear hatch. If someone comes right up to the car and peers in, if it's bright out they can see inside, but if it's darker or night, it's very difficult to see inside the rear hatch area or see through the rear side windows.
One interesting side effect of having the X parcel shelf installed is (to my ears) a definite improvement in the bass response of the car sound system. I can run the low EQ at zero when I have the shelf installed. Without it, I was running the Low EQ around +5 to +7 to get what I thought was a fairly neutral bass response curve.