The joke is making fun of anyone who does assume incognito mode is hiding anything from third parties.
All the Chrome bashing around this issue is pathetic. Every major browser has the same feature and none that I know of give it a name that makes the purpose any more clear. It's obvious a lot of people have an irrational hatred of Chrome and don't understand the actual issues involved.
Yes I get the joke. But the reason it's focused on chrome is because it is far and away the most popular browser by an insane margin, so "incognito mode" is universally known and understood.