It’s more that if you ask the app not to track you, there’s nothing stopping the server you’re connecting to with that app from continuing to track you. The server doesn’t even know you opened incognito mode versus just a different browser profile and it would be more of a risk for fingerprinting/sites blocking you if it did have the ability to know if you were in incognito.

It’s not the browser that’s really the problem in this case, it’s the tracking and building of user profiles across browser profiles and devices on the server side.