Most of the security in Privacy Browser is designed to protect against remote entities compromising your privacy. Incognito Mode is designed to protect against a different threat: a malicious actor gaining unlocked access to your physical device. For example, consider the situation of a human rights worker arrested by the police under a repressive regime. Using coercion or technical means they could unlock the person’s device. Incognito Mode assures that there is no web history stored in Privacy Browser.
It does this by deleting the history and cache every time a website finishes loading. This, of course, has the side effect of disabling the forward and back buttons.
Other browsers use the the phrase Incognito Mode to describe different functionality, like disabling cookies or DOM storage, which has confused some users. Incognito Mode, as it is implemented in Privacy Browser, has no benefit in terms of protecting privacy from remote threats.