Whenever we interact over the internet there is transfer on information that is through our consent but that is a small percentage of the data
There is a majority of information regarding us that is available to the mediator per say regarding us
Now a few websites take data not so as to steal your precious information regarding you but some basic information that do not really matter to us if someone utilises it and why they do that is in order to understand us the client
simple example when you log into google and search for a few electronic gadgets and then later on when you use the same google account and lets say you surf the youtube the google may produce some ads on youtube regarding the electronic gadgets again.
Now this is through keeping a check on your watch history search history but those are the piece of information that might not be that much valuable to us so they avoid taking the consent per say to utilise that data.
and simply said most of the websites still use cookies not because their major reason stealing the data is to sell to third party but just to know about the client that is us in this case and provide a better interface
saying about incognito window using an incognito window does really nothing but consealing your identity if you wish to surf better use sites that are secure simply by identifying the https in the sites.