Privacy
You decide what other players can see on your profile.
Country
Your country is hidden by default. To show it, go to Settings → Account and turn on Show my country on my profile. It then appears as a flag next to your username. You always see your own flag.
When you sign up we guess your country from where you connect. If you pick one yourself, we use yours and ignore the guess, so a VPN doesn't change it.
Everything else
Settings → Privacy has the rest: who can see your profile, whether you show as online, whether others see what you're playing, whether you appear in Explore, and whether your Discord status is shown. Press Save after changing them.