Seconding 2). Incognito is not just for porn, but very handy to check for cookie or session related troubles too. Chrome's implementation should be the default for all private browsing sessions in browsers.
Meta-bug for per-window private browsing in Bugzilla is [2].
[1] https://hacks.mozilla.org/2012/12/firefox-development-highli...
Yes, the Firefox mode is far more awkward for quick testing, but it does have the advantage of making it explicitly clear when you start and end your private browsing session.
A better behavior here would perhaps be that after having the first Incognito Window open, the next would be become "Incognito Window 2". The "detective icon" could have a number overlay and each window would isolated. If you want to share data between the open pages the natural thing to do would be opening a new tab.
I actually like to have an option to have a private tab. If it's just for a quick test then windows is fine, but if I want to continuously work with two logins on one page or something similar then I found the tab to be more appropriate.