The latest version of Windows 10 has no "Privacy & security" option when clicking "Start > Settings". When clicking "Start > Settings" a "Privacy" option appears, and when clicking that, an "Activity history" option appears. Clicking that option shows a "Store my activity history on this device" parameter and that, in my system, was already turned on.
Likewise, the latest version of Windows 10 has no "Start" option when clicking "Start > Settings". It does have a "Start" option when clicking "Start > Settings > "Personalization", and there I found the "Show recently opened items in "Jump lists" parameter. It was turned off, so I turned it on and that resolved my problem.