Extensions operate on requests before the platform-level channel classifier.
In theory, the platform-level classifier should be faster than the webRequest API, but we've not measured it specifically.
Running both uBO and and Tracking Protection can give some extra coverage; I've noticed sometimes the Tracking Protection shield pops up even though uBO (and Privacy Badger) are running.
However, it's not obvious to me that the protections offered by incognito are a superset of the protections offered by UO and I wonder why this is desirable ?
Do I want incognito mode with UO running on it or is that unnecessary ?
Last time I checked chrome does not by itself offer any tracking protection while in incognito mode (supposedly since this would make it easier to detect when a user is in incognito mode). So you probably want UO enabled for that.
chrome://extensions -> uBlock Origin -> allow in incognito
The tradeoff is that many extensions are not safe and could spy on your incognito activity if allowed to work incognito