As whippurwhil and Chickenhawk said, scanning police frequencies is not possible on your Cobra FRS radios and will be problematic on a bona fide scanner, and for the reasons already mentioned.
Uniden does have a line of digital scanners. They even have a CB/digital scanner combo radio that is quite popular, the Uniden BearTracker 885.
To answer your question about privacy codes, they essentially act as a filter and are quite useful for tuning out unwanted noise or transmissions from other users and groups operating on the same channel. In some areas, the FRS can get crowded on certain channels, particularly channel 1. Setting a privacy code on your radios will filter out the chatter so you only hear the transmissions from your radios or others in your own group.
Episode 8 our Two Way Radio Show Podcast explains what privacy codes are and how they work.