As Mixed Reality (MR) devices become increasingly popular across industries, they raise significant privacy and ethical concerns due to their capacity to collect extensive data on users and their environments. This paper highlights the urgent need for privacy-aware user interfaces that educate and empower both users and bystanders, enabling them to understand, control, and manage data collection and sharing. Key research questions include improving user awareness of privacy implications, developing usable privacy controls, and evaluating the effectiveness of these measures in real-world settings. The proposed research roadmap aims to embed privacy considerations into the design and development of MR technologies, promoting responsible innovation that safeguards user privacy while preserving the functionality and appeal of these emerging technologies.