The greatest extent to which a phone can protect your privacy is only allowing your physical location to be tracked . I don't think that can be called protecting your privacy at all. It seems downright irresponsible for them to be claiming their device does what no phone can do.
There is also a concern about the phone, like other smartphones, including a baseband processor that runs closed-source software and has access to the phone's memory. The baseband processor could be running malware without the main processor or the OS being aware of it. Hacker News had a good discussion of this when the Blackphone was posted there recently:
Your service provider can determine your location by multilateration, and your SIM uniquely identifies you. Consequently, this. Your cell phone can't avoid exposing you to location tracking, because being a cell phone requires exposing you to location tracking.