I noticed that Privateers (and Sea Dogs) are invisible to non-adjacent units and upgrade into Subs. Crazy. Also, Privateers can do Norway's Coastal Pillaging thing. Sea Dogs capture ships. I'm not sure which is worse to be caught by surprise.
So you really want a navy on any map that has oceans. Otherwise everything on the coast will be pillaged from privateers onwards constantly, even your builders might get captured (or is that Norway only?). This is also another point for coastal cities (despite the newly seen free embark/disembark): if you can only build ships via a harbor, it's easy to block and neighboring tiles will be under attack/pillage, you would also need a coastal encampment to guard it. So a coastal city seems easier to defend and give you a better chance to have a navy.