There is a common misunderstanding of what "Private Browsing" or "Incognito Mode" actually does.
There is no anonymity or tracking protection provided. What these modes do is block persistence of information across sessions, preventing permanent storage of cookies or history after the browser has been closed.
Within a given browser session, meaning from start to stop, Incognito and similar works exactly the same (caveat) as a normal browsing session. The difference is that local storage is blocked so all of the session information is gone upon browser termination.
Some browsers (Firefox) proactively block writing to local storage in private mode. Some browsers (IE as of 2 years ago) wrote to local storage but cleared local storage upon start up.
Caveat:
Because protected browsing may not allow HTML5 local storage, many sites now complain about protected browsing. Some sites, like Netflix, will not work at all without the ability to write local storage.
