[1] https://blog.mozilla.org/internetcitizen/2018/07/26/this-is-...
So that leaves us with "do not trust privacy protection of an ad company".
Replace the left side of the expression with "Google" and you'd have what most users might expect from Incognito. That is, that Google not know about the Amazon purchase, Facebook post, or Times subscription. That Google does know, essentially, even from Incognito, is the problem.
Of course, if Amazon or Facebook or the Times tell Google or at least hire someone to figure out who you are and tell Google then it's surely not Google who is tracking you.
And likewise, if Google Tag Manager and Google DoubleClick Ads make it easy to add and integrate with the one or two missing pieces from third parties to make this work, then it's not Google's fault either.
So then if you replace "Amazon" with "company that subcontracts to Google for analytics", you'd still expect Google to have the data.
If you're in incognito mode, and you buy something on Amazon, post something on Facebook, purchase a NYTimes subscription, do you expect none of those entities to have information about what you did?