If a Private window is already open, the Bookmarks link to “Open [selected bookmarks] in Private Window” forces the selected bookmarks into that existing Private window.
An option to open those bookmarks in a ‘New Private Window’ would be welcome, as the desire to keep the selected bookmarks together as a unit can be preferred to merging them into a window with other unrelated bookmarks. In my own case, that’s the goal most of the time.
Thanks.