There are almost no privacy concerns with this feature because when traversing a theory, MyHeritage will automatically privatize the details of living people outside your tree. Most theories do not include any living people (other than you and the DNA Match whose details are visible anyway), because theories only go through ancestors to find a blood relationship, never through younger generations.
Users who do not wish to see any theories or to have their family tree participate in theories suggested to other users can use the privacy settings to opt out of this (by disabling Smart Matches for their tree and its inclusion in the MyHeritage Search Engine, and making sure that their site is not visible to guests). This is possible, but not recommended, as it will prevent them from receiving Smart Matches and other benefits.