If I turn on Incognito mode and then go to Amazon, Amazon can obviously see what I'm doing. If I log into Amazon, then Amazon knows it's me and can track that. I think that's reasonable, but people didn't understand that that's the case and that's why Google has that disclaimer there.
That's different from browser fingerprinting[1] though. Fingerprinting techniques exist which can tell that you're you even if you're in incognito mode. For example, if you're visiting Pornhub every day in incognito mode, the company can still build a pretty reliable profile of you. If you then visit them not in incognito mode once, they may be able to take that incognito profile and associate it with you a lot more closely.
Likewise, if you visit Amazon from your browser all the time and then visit them in incognito mode, these fingerprinting techniques allow Amazon to know it's you already; they can "play dumb" by keeping you logged out, not showing you recommendations, etc., but they can still figure out it's you and use that to continue to build a profile on you.
The caveat here is that this is much more useful for some people than others. If I visit HN, then HN can fingerprint me in Incognito or not, but that's not extremely useful. If I visit literally anywhere else, Google/Doubleclick/etc. can fingerprint my browser, and since extensions like ad/tracker/etc. blockers don't work by default in incognito mode, they could potentially get an even better profile of you from Incognito mode than not.
Pretty gross, honestly.
[1] https://blog.mozilla.org/internetcitizen/2018/07/26/this-is-...