True, hence my slight annoyance with Firefox.
Somebody pointed out that you could setup/use different profiles in Firefox and there's a plugin "Profilist" that makes creating / switching profiles easy, just tried it out and works well.
The mentality with add-ons in Firefox is that when you install an add-on, you trust that it does the right thing (e.g. it gets a notification that you're in Private Mode such that it has a chance to stop logging or whatever) and then you trust Mozilla's review process to catch perpetrators.
The problem is of course that some add-ons are more trustworthy than others. I trust Mozilla and I may choose to trust Ghostery, but do I trust the Readability add-on in Private Mode? I can't do that. And you can take security measures, like connecting through a VPN and connecting through HTTPS, but if your browser is compromised, then tough luck.
I use Private Mode when searching / watching porn, or when logging to my Banking account. And I take security very seriously. Therefore I have to abstain from installing add-ons that I don't find to be trustworthy. Of course, at this point I trust extensions in Chrome's Store even less, but I'd also prefer its security model for extensions. Hopefully once Electrolysis is in, they'll also work on this.