Incognito mode is for keeping your browsing history "clean" on your end. So that if your friend or relative uses your computer, he/she does not stumble upon stuff you don't wont to see.
Somehow I never had an issue with that.
It's especially to prevent it from showing up in autocomplete. Imagine you tell your mother to look up a plane ticket on Priceline, she types "p" into the address bar, and all of a sudden 8 different porn videos show up as the top 8 autocomplete suggestions.
Now if she's polite she probably won't say anything and you'll never know. But...
I just never had a problem with my family or friends to see that I watch porn.