You can disable sharing altogether if you want. This is specifically for a single "session." Like if you want to listen to a guilty pleasure and don't want your friends bugging you about it
It's also useful if you have a second musical "life" that you don't want to involve in your recommendations. Parents with kids' music, for instance. In my case, I turn on private listening when I go to bed, because my sleeping music is repetitive and nothing like the music I want to discover.
No no, but in the UI you can see what your friends are listening to (if you're added as friends). Example I found online (the right bar is the friends feed):
