https://bugs.winehq.org/show_bug.cgi?id=47847
--- Comment #1 from François Gouget fgouget@codeweavers.com --- The "privacy wizard" is shown on the next boot after changing the country to a European country: * It gets shown after the country is set to DE, ES, FR, IS, NO, PL. * But not after setting it to CN, EG, IL, IN, JP, US.
So a workaround would be to relocate any European locale to a non-European country. Care must be taken to ensure this will not have an impact on the language though, like Canadian French instead of regular French.