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 The primary difference between LN and Monero for privacy as a regular user is that the recipient node is always public on LN. Both sender and receiver are anonymous on Monero. So are all wallets and balances. The only thing the blockchain ever shows is "anon sent an unknown amount of money to another anon."

There's a lot of complex details regarding the design of the underlying cryptography as well, such as rings and decoy transactions. This makes unmasking transactions much more difficult because you don't even know what to target.

The @Seth For Privacy link on Monero that's already been posted further down is a great resource to learn more.  
 nostr:nevent1qqsxnrzz8p7gyc9tlz6dvdpshyznuqurkdrq6m4ka67rptw7mhplh3cpzemhxue69uhhyetvv9ujumn0wd68ytnzv9hxgq3qaxg97ls93lg59ndehhwyf5a3kyf6kgpk692tgzzxdvzhdccmlhusxpqqqqqqztkc48r 
 There is also a lot of UX issues and complexity involved in using LN privately and sovereignly that Monero (or even Bitcoin), don't have. Just a few:

-need capacity to use
-can't send larger amounts
-can't send to a static address
-can't use offline
-can be rugged if offline
-can ultimately be force closed back on chain against your will

I suspect, along with all the privacy holes, these are major reasons DNMs don't use LN and still wouldn't even if it's privacy was on par with Monero. Just too many inconveniences and pitfalls. A headache.