Your options are Got It or Close Private. Hitting ESC is hitting the Close Private button. Just as hitting Enter dismisses the message and keeps you in Private.
Keep in mind ESC usually aligns with the second option. Many windows tend to have it default to Go Back or Cancel, but it’s not a guarantee.
Anyway, can see this is a feedback or suggestion that Brave should perhaps consider, but at least wanted to point out that this at least seems to be the intentional design.
@derineryilmaz@Mythical5th my reply aside, I did look to see if it happens in Chrome as well. But I see the design works differently there where ESC works as you are saying you’d like to see it behave here.
So this isn’t an inherited issue from Chromium. I was going to create a Github issue on this, but I see there’s already one that was created back in 2022. I’m going to tag @Mattches to get eyes on it and see if they can ping the appropriate devs.