He claims he is pro-privacy, and that if people get into problems by sharing too much on social sites, it's their fault. He himself is not sharing too much.
I think a lot of his stances and statements on privacy are with respect to internet privacy as it pertains to Facebook's users and the success of his company. His stance, in my opinion, focuses more on users having control over what they post and what they choose to share, but in general that sharing information online is a good thing. Unsurprisingly, his views seem to coincide with some encouragement of users to share information via social media.
With that in mind, I feel that the issue of privacy with respect to one's home/private property is very different. With this, Zuckerberg is likely thinking about the physical safety of himself and his family.
I'd be curious to hear more about what you find unsettling about him.
There is something I find very odd and unsettling about Zuckerberg. One day I think we will yet rue making him such a success.