Private items are a PRO feature of CodePen. If you make an item (Pen, Post, Project, Collection) private, nobody can see it except you and people you share the link with.
We feel like that makes a decent amount of obvious sense. But it's slightly complicated with Collections, which contain Pens. What happens if you, say, put a private Pen in a public Collection? Well, we keep our promise. Nobody else, except you, can see that private Pen. So you when you look at the Collection, the Pen is in there. When other people look at it, it's not there.
That logic can cause a little confusion, so we've added a special message that only you can see to make sure it's clear.
Hopefully that clears things up for those situations where you have both private and public Pens in a public Collection.
One more little things to be aware of:
If you put private Pens in a private Collection, then share that private Collection, the private Pens within will be shown. The idea there is that you've already chosen to break that private barrier, so private things can be revealed. This can be useful when you, for example, need to keep a whole bunch of Pens private (say, for client work), but share the whole lot of them at once.