init.py files are required to make Python treat directories containing the file as packages, and have them installed in the conda environment at build time.
I tested locally by creating conda-dist distribution with:
$ make envdifferential-privacy is present in the generated archive:
$ tar xvzf dist/differential-privacy-0.1.0.conda-main-94a3603a.tgz -C venv
$ ls ./venv/lib/python3.7/site-packages/differential_privacy
__init__.py country_project_page_gaussian.py utils/
__pycache__/ data_preparation.py