As I understand the checkin-policy are set on the server, but enforced on the client. Since they are enforced on the client, is there a way to setup a private checkin policy.
I want to have a checkin policy for myself, but I can't set it on the TFS server as that would force everyone to follow that policy as well.
No that is not possible. If you're creating custom check-in policies you could have it filter by user, but you'd still have to turn it on at the server level and have every user install it locally.