We do not value privacy to an infinite degree. To date, get married, and have kids is to give up an enormous amount of privacy to your significant other. There is a privacy-loneliness tradeoff that humans take, often with little hesitation.
In medical cases, we give up our privacy to our doctors and we feel great comfort when we are cared for. God is the perfect doctor with perfect bedside manner. If we're willing to give up our privacy to our doctors, all the more would we be willing to give up our privacy to God, whom we trust all the more and who all the more provides a sense of ease and comfort for those in his presence.
But even saying "giving up" our privacy doesn't do the situation justice. Is a parent giving up their time to be with their children, or their spouse? Sure, but what else is time for? Am I giving up my money to live my best life? What else is money for? To collect dust? Am I giving up space in my bed when I sleep in it at night, as if that space had some other purpose?
Even if it's a "trade" between privacy and being with God, it's the easiest trade we ever made. We want to be known, we want to be loved, we want to be understood, we want to be seen, we want to be a part of something greater than ourselves, and we want to feel as though we belong. All these things require giving up some degree of privacy.
God promises to make you feel all these things to their greatest degree. God knows you, God loves you, God understands you, God sees you, by being part of God you are part of something far greater than yourself, and God makes you feel as though you belong in this world and were created with a purpose in mind. Your existence, instead of being a mindless accident, is a mindful event full of reason.
The privacy argument vastly overestimates our value of privacy as if privacy is the single greatest good in all of life, which is clearly false. We happily give up privacy for greater goods.
The argument is even worse than that. If God exists, then there are no broadly gratuitous evils. Imagine you had the power to bring God into being and solve the problem of evil, or withhold God. Imagine telling a child whose mom is dying of cancer (assuming this is a broadly gratuitous evil), "Sorry, but whether you know it or not, your privacy is more important to you than your mom being healthy." Absurd. Obviously we would gladly give up the good of our privacy to be free from horrendous evils.
Why do we want privacy? For safety and dignity. And yet with God we have maximal safety and dignity, and without God we lose all safety and dignity. With God we are kingly creatures participating in a Grand Story, eternally loved by the all-powerful, all-wise creator of the universe. Nothing could possibly be more dignifying than that! And speaking of safety, God guarantees our eternal safety in an afterlife. (I'm assuming a model of God that is logically incompatible with any fundamentally bad world, i.e. hell.)
If we knew God watched us, how would this affect our behavior? Perhaps it would give us a greater incentive to act rightly.
Let's be careful here. With the world as it actually is now, belief in God needn't give a greater degree of moral motivation nor the right kind of moral motivation. On the degree of moral motivation, rationality provides the motivation to be moral, and belief in God, in the actual world, will not necessarily make one more rational. (Given the reasons to doubt God's existence, if anything the opposite is the case.) On the right kind of moral motivation, knowing God is watching doesn't help us by itself. We have to know what God is like and what he wants. If we have no idea, then a group of people might avoid a behavior, assuming that God disapproves of it, when it turns out that God wants that behavior.
Epistemically, in the actual world, we have the problem of evil and the problem of divine hiddenness. We don't know that God is watching us. If someone believes in God, they easily could come to false beliefs about what God wants, and so their belief that God is watching them could motivate them to act wrongly.
But in the counterfactual world where God really exists, I assume the problem of evil and divine Hiddenness would be solved and we would in fact know that God exists, that he is watching over us, and that we wouldn't have to guess as to what God is like or what he wants from us. With the epistemic problems dealt with, then it would be the case that belief that God is watching us would beneficially affect our behavior.
Although, this strikes me as a moot point, because such a God would just create us with better natures to begin with, so we wouldn't need God watching us to motivate our moral behavior. Our motivation would come from within.
Maybe we would feel embarrassed with God watching us at all times, even in private moments? Not at all. Christians who love God do not feel embarrassed by this at all, and if anything they feel the opposite. Again, do you feel embarrassed when a doctor takes care of you? For some people, the answer will be a simple and resounding yes. But when you're with a doctor who truly loves their work and finds all things medical fascinating, it's like your ailment becomes an object of interest rather than scrutiny. And if the doctor truly cares about his subjects and has great bedside manner, you won't be made to feel lesser in any way. God would also look upon us with perfect understanding, interest, and care. God would make us feel valued despite our limitations, and in fact it may very well be a key aspect of love to love something despite its limitations. Far from our limitations making us feel embarrassed, precluding us from feeling loved by God, it is exactly our limitations that highlight God's love for us!
Our vulnerability sets us up for deep pain when it's taken advantage of. But vulnerability is a double edged sword, where it also sets us up to feel loved in a thoroughgoing way. When someone makes you feel valued and comforted at your weakest moment, then you feel truly valued and at ease. In fact, it is exactly because of these sorts of effects that I would feel inclined to say vulnerability, or experiences of limitation, is one of those evils that can be justified because of the greater goods it enables, especially when that vulnerability never backfires, which, it goes without saying, never happens with God.
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