Multibit Classic is the best out of the three Multibit,Multibit HD and Electrum for privacy as it keeps only one bitcoin address for each wallet and can create as many wallets as you like. Other people cannot link these addresses to be under the possesion of the same person differently from Electrum.
From this point of view, Electrum is far behind lacking big time in privacy compared to Multibit classic.
Lastly, what does"each wallet" mean? For both software you have one wallet open at a time. A wallet is a collection of addresses, and no one knows the addresses in your wallet unless they are spend linked.