The incognito mode is designed to be incognito from the moment you open the window. When you close it and re-open the window, the cache will be thrown away (along with any cookies, localstorage, etc.). During your incognito session, cache and cookies and everything is stored. If they didn't do this, websites would not function properly.

I believe the incognito mode has more potential than it's currently being used as. For example multiple parallel sessions would be not only nice and handy, if people learned to use it, the isolation would also enhance browser security. As I mentioned on the page, it single-handedly eliminates a number of https attacks and tracking methods.

Edit: Oh you mean that bug in this demonstration? Yes that's a local issue here. In practice the two sessions could not be linked, as you can see when you press f5 in the incognito window. Sorry about that, it's mostly meant as a tech demo where people can understand and learn from the code, not a finished product!