Yes, that's the default behavior for CB Activity, which has no privacy out of the box (you need CB Privacy and CB Auto Actions for activity privacy controls). If you want to allow users to post on each others activity streams without being connected then you need to edit the Activity tab in CB > Tab Management and set "Create Connected Access" to "Disable" within Parameters > Create.

is there a way to set the url of a user associated to a menu item?

Create a Joomla menu item with menu type Community Builder > User Profile then supply a users id for the User parameter if you want a Joomla menu item to link directly to a specific users profile.

If you want a unique menu item per user then you need to make a menu item per user. If you just want a general menu item then create one without User supplied. Beyond that I've no idea what you're asking. If you want to link to a users profile with custom HTML you'd use the below.

index.php?option=com_comprofiler&view=userprofile&user=USER_ID_HERE&Itemid=ITEM_ID_HERE

The SEF URLs to users profiles should display as follows.

domain/menu-alias/username

For example your profile URL here at Joomlapolis is as follows.

www.joomlapolis.com/profile/tilatam

This is done using a Joomla menu item with menu type Community Builder > User Profile with User left as empty at the below usage.

index.php?option=com_comprofiler&view=userprofile&user=USER_ID_HERE&Itemid=ITEM_ID_HERE