Mozilla is staunch about seperating the Awesome Bar (which autocompletes locally) and the Search Bar.
I get that companies need insight about how users use their products. This is not an instance of that, because companies definitely don't need insight about which websites are visited.
Other than that, I don't like the idea of automatically sending my browser history to my search provider. To that end, I also immediately turn off phishing protection on all new installs.
[1]: http://blog.sidstamm.com/2012/02/malware-and-phishing-protec...
What I'm really saying is, if you think something is important enough to use any sort of a private-browsing mode? Spend the extra few seconds and open up Tor instead.
Everything else is the same boring noise everyone else generates. The more noise you put out, the less suspicious you look. Nothing says "this person leads a secret life" to the NSA better than having a blank "file" in their automated-dredging system. You want such a file to be full of mundane detail, such that your data doesn't have a different "shape" under traffic analysis than the average 16-year-old who makes public posts about their plans to hang out with their friends at the mall on Saturday.
It never occurs to me to do it until I see the error page, though; it's always a bit of a hassle.