I don't think it does. One possible explanation is that they don't want the "Edge Effect". If the header is set by everyone than people will just ignore it. Since Edge started setting it for everyone the header is basically useless already.

It would also provide an interesting way to identify incognito users which chrome has been trying to prevent websites from doing it. Of course it won't be perfect, but probably more than 99% of DNT headers would be incognito if they did this because I would bet that very few people enable it manually.