They're right, you can't add private reg to any ccTLD in most cases, and .US is the 2nd level ccTLD for the US, I've never seen a registrar that permits it
.CO was weird, when introduced as the new Colombian ccTLD (at the 2nd level) in 2010 you could have privacy with Go Daddy but not with others. Then even GD didn't allow it. But then .CO became a gTLD for all intents and purposes and privacy was again allowed, but it depends on the registrar, it shouldn't but that's the way it is
.MX was another good example, Go Daddy would let you add privacy at the beginning even if it was a ccTLD, and it has stayed a ccTLD. But then GD started not allowing privacy for .MX either, so now no one does