Generally it just means that the browser doesn't save cookies or your browsing history when you are in incognito mode or privacy mode. The main thing it does is hide your browsing history from other people who use the same computer. Not all of reasons someone might want to do this are nefarious; I used incognito mode (Chrome browser’s privacy mode) when I was shopping for Christmas presents this year, and successfully managed to keep it so the gifts I gave were a surprise.
Super cookies are another issue. Along with "fingerprinting," they can be used by websites to identify your individual computer even when you have your privacy settings at most private.