My understanding is private mode is to secure applications and files on a device so that the primary user can work within private mode and have access to everything . . . but when they want to hand the device over to someone else they can exit private mode and be assured that secured applications and files are not accessible to that other user.
I do not think that this mode is supported on the Note Pro out of the box but i could be wrong.
Go figure . . Samsung keeps making hundreds of variants of everything . .