Chrome warns you that websites that you visit may still track you. It doesn't warn you that Google, who owns Chrome, will still track you, which would put the lie to "incognito" anyway.

It's as silly as if I ran an "anonymous" clinic where you didn't have to give your name, but my employees were instructed to figure out who you were by running in-house facial recognition software and to place the results in your file. That's materially different than warning people that "although our clinic is anonymous, you may be recognized in the waiting room by other patients" which is the way people understand Chrome's warning.