As a totally non-web example of this, as of 2017, "Google’s third-party partnerships ... capture approximately 70% of credit and debit card transactions in the United States." https://adwords.googleblog.com/2017/05/powering-ads-and-anal...
When you buy something with MasterCard, in person, with a magstripe or even an old-school carbon-copy imprinter, MasterCard can go give that data to Google.
I think the incognito warning could say "Websites you visit, and anyone those sites share data with" to draw attention to this, but I'm not sure if that's quite enough. I'm leaning towards the argument from this article that "incognito" itself is simply a poor name.
Google's TOS (as you can see linked there) seems to apply to both Chrome and Google Analytics. By downloading Chrome and agreeing with their EULA, you already acknowledge that this data is being collected. I don't really get what people are objecting to, here.
And Google's Privacy Policy linked to off of there is one of the subjects of the lawsuit and that it is deceptive.
I don't see the difference between that and, say, Coke selling a product called "Diet Coke" that just has regular coke in it. A disclaimer reading "Warning: this is just regular coke," might make it legal but it's still messed up, and I wouldn't blame someone for trying their luck in the courts over it.
That's something which should be adequately disclosed by the websites you're visiting, which the problem that GDPR tries to solve (and currently fails to solve due to poor guidance and enforcement). Ideally a GDPR "cookie banner" should simply say "This site uses Google Analytics, <other services> to track you across the web. [Allow] [Deny]" instead of the current dark patterns.
There is ONE simple answer here that is in the best interest of your user, and that's rip the invasive 3rd party analytics out of your website.
Anything else is failing to put your users first, and eventually those users will go to a competitor who does. There's so much opportunity out there right now for startups that prioritize decency.
That's kind of the point of GDPR. But they're not enforcing the main requirements under the law - that the consequences are clear and that choosing to allow or disallow are equally as simple.