Hi,
I just implemented a control for this so it will be available in the next release. You will be able to add it to a layout.master like this:
<portal:PrivacyPageLink id="pp1" runat="server" />
Keep in mind that while the setting in Site Settings suggests an url, you need to create the privacy page yourself in the CMS. What I did on this site is make a page beneath the About page as /privacy.aspx and I marked it as not included in the menu (it does show in the site map) then I manually added a link in my layout.master. The new control just makes it easier than hard coding a link.
Best,
Joe