It wasn't a surprise for me in the sense that I was already suspicious of this behaviour. I made this video as a proof. The problem is that if a product feature is being marketed as "incognito", it is inherently meant to wipe off all the session information for the duration of use. Youtube not respecting the choice of a user to go private as part of it's own provided feature is extremely misleading. Not sure if this is violating their own privacy terms or not.