> What are people afraid of?

> I really don't see the harm.

> are people worried about embarrassing websites they've visted?

There are so many reasons you should be concerned. If not for yourself, then for the sake of others.

https://en.wikipedia.org/wiki/Nothing_to_hide_argument

I don't want to have a personal relationship with merchants, but I especially don't want their marketing panopticon piecing together the lives of Americans.

> But, for that you just use incognito mode.

That doesn't work. Fingerprinting can still track you.