what web analytics tool should I use that's not Google Analytics? Looking for the most privacy focused option.

Self-hosted Matomo (formerly known as Piwik)

Any thoughts on if it's possible to setup/install on Heroku?

Here's what I found about that -- not sure if there's a better way.

But the install process is incredibly easy on a plain VPS. I've been running it for 2 years now without problems. My only suggestion is putting it behind nginx instead of Apache so you can stay on a smaller instance for longer, and reduce the report generation frequency when things start slowing down around 100K hits / month.