None of my Braves exhibited this behavior (see below); all had no trouble opening private windows and private windows with Tor, as well as closing them after visiting a site.
If you’re using the latest Windows 10, I’m thinking it might be the Windows feature update 1903 that broke your Brave, or if you updated Win10 a while ago, something in the latest Brave that doesn’t like Win10 1903. I’m about to update my Windows install to 1903 and will report back.
Hnk’s multitudinous Brave Install results:
Linux Mint 19 Cinnamon (3.8.9), kernel 4.15.0-54-generic:
- Brave 0.66.100 Chromium 75.0.3770.142 (Official Build) (64-bit) private window and private window with Tor work fine.
- Updated to kernel 4.15.0-55-generic:
- this also updated Brave, Brave 0.66.101 Chromium: 75.0.3770.142 (Official Build) (64-bit) private window and private window with Tor work fine
Microsoft Windows 10 Home Version 10.0.17763 Build 17763 (will be updating to 1903 later today):
- Brave 0.66.101 Chromium: 75.0.3770.142 (Official Build) (64-bit) private window and private window with Tor work fine
- Brave 0.69.44 Chromium: 75.0.3770.100 (Official Build) nightly (64-bit) they both work fine.
- updated Brave Nightly, 0.70.3 Chromium: 76.0.3809.62 (Official Build) nightly (64-bit) both work fine.
macOS 10.14.5:
- Brave Version 0.66.101 Chromium: 75.0.3770.142 (Official Build) (64-bit) both private window types work fine (called from hamburger menu, not File menu)
- Brave 0.70.3 Chromium: 76.0.3809.62 (Official Build) nightly (64-bit) both private window types work fine (called from hamburger menu, not File menu)
- Brave Version 0.67.112 Chromium: 76.0.3809.62 (Official Build) beta (64-bit) both work fine.
- Brave Version 0.68.104 Chromium: 75.0.3770.100 (Official Build) dev (64-bit)
both work fine.