I like Ctrl + Shift + P for private mode. Since Ctrl + Shift + N, is inconsistent with ctrl + shift + T, where it open last closed tabs. It should open last closed windows.
For me it is better UX.
As long as the panic Ctrl-Shift-W to close said window still works, we should all be safe.
If we could scrap CTRL+W for closing the tab, it would save my anger on a couple of webgames.
You can't eliminate that anywhere.
Brave lets you change it (or remove altogether). I just did it before posting this to make sure.