A Microsoft file hosting and synchronization service.
Hi Edwin,
To answer you questions:
1.Yes, it is privacy only for users themselves.
2.No, it will not be seen by others. However, if admin adds other users as administrator of this user's OneDrive for Business site through SharePoint admin center -> user profile, admin is able to see files.
3.You can click the folder ->send to -> Desktop (create shortcuts) to create shortcuts. Right click the shortcuts -> properties to edit this icon.
Thanks,
Vinson