BetaNews summarizes privacy problems with Microsoft Edge’s privacy mode, which turns out to not be very private at all.
. . .it turns out that InPrivate mode is a privacy nightmare. It is possible to peak behind the curtain and see which sites have been visited when using a browsing mode that should mask this.
There are similar features found in other browser. Chrome has Incognito mode, Safari has Private Browsing, Firefox has… actually, Firefox has Private Browsing too. Whatever the name, what these browsing modes all have in common is that once the browser is closed, there is no record of which sites have been visited. That’s not to say that ISPs and law enforcement agencies wouldn’t be able to determine the browsing history, but from a local point of view it is as though no browsing has taken place.
But Edge is different.
Somewhat counterintuitively, Edge actually records browsing history in InPrivate mode. More than this, by examining the WebCache file it is a relatively simple task for someone to reconstruct full browsing history, regardless of whether surfing was performed in regular or InPrivate mode.