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If I had to guess, is because the mode’s very name strongly tells you so?
Definition– adjective (of a person) having one’s true identity concealed. “in order to observe you have to be incognito”
adverb in a way that conceals one’s true identity. “he is now operating incognito”
noun an assumed or false identity. “she is locked in her incognito”
having one’s true identity concealed
Which is exactly what the incognito mode does. Being incognito doesn’t mean you can’t be tracked in your fake identity