That still doesn't solve a problem of a user installing the browser for the first time, installing adblock, then going to a porn site in private mode and getting a faceful of malware-ridden ads. Who thought this is a good idea?
† Stylish is a … special case [0]. But see also hypothes.is or any other extension that relies on a "user-created content store".
[0] https://robertheaton.com/2018/07/02/stylish-browser-extensio...
But anyway, the reason probably is that some extensions are abusive of personal data and you don't want them sniffing stuff in private browsing (with out your persmission).