I created a post I wanted to make private in the new WordPress.com editor. After giving up figuring it out, I went over to the WP Admin, found the draft, and Privately Published it that way.
At the top of the post it says,
There’s now an easier way to create on WordPress.com! Switch to the improved posting experience.
So… There must be something I am missing.
UPDATE: Found it. Top right in near invisible gray with the trash button.