As an author, you don't need a privacy policy. However, there are some book software tools that require you to have one visible on your website as a condition of their service.

You don't want to necessarily add a privacy policy to your Navigation Menu. It will so rarely be viewed by visitors, and your nav menu is valuable real estate. 

Instead, you can create a custom page that you can send as a link or simply link to from another page. Here is a walkthrough explaining how to set this up:

Can't view the video above? Click here: https://vimeo.com/762322433/e1656f5685