There are various reasons why privacy levels can't be changed.
First, you need to be the manager of a profile to change the privacy.
If the profile was born more than 150 years ago or died over 100 years ago, the only privacy they can be is Open.
If the profile is marked as living and doesn't have an account (because one of the fields has a living marker or the dates make it likely the person is living), and the profile doesn't qualify as a living notable, the privacy can only be Unlisted.
If a profile is a living person with a WikiTree account or a living Notable, their privacy cannot be higher than Yellow (Private with a Public Bio and Tree).
If none of these apply to the profile you are trying to change the privacy for, please post the WikiTree ID so I can take a look and see if there is a bug.