Incognito is a privacy feature that most browsers have.When you use this privay mode the browser creates a temporary session that is isolated from the browser's main session and user data.
Incognito mode only stops the actual browser from recording your activity however it does not stop the websites you visit from recording some of your information. Other websites can still save cookies ask for your location. Your employer, organisation, school, or whoever runs the network you’re using can still see all the activity that occurs on thier newtwork. Your internet service provide can also also access your browsing history.
A shortcut you can also user is to connect is Ctrl+Shift+N.
Alternatively, Firefox Private Browsing can be opened with the shortcut Ctrl+Shift+P.
In short, it depends. There are some great reasons to use incognito mode.