Confusing but the official site is not monero.com but www.getmonero.org, where you can see the full list of officially suggested wallets. Official GUI is a safe option. Feather is also good, Electrum-like.
Cake (Monero.com) is one of the suggested options too & is popular, but certainly not “most private“. With Feather, you can do everything over Tor, more privacy-friendly.
Most Monero users only use non-custodial wallets; so they just say “wallets” meaning that. Technically running a local node yourself is the most secure & private—though this option is not for everyone.