You could make an argument whether you want one session per tab or one per window, but yes. Sharing state between "incognito" instances is both counterintuitive and potentially harmful.
I think the current approach is that there is just one regular and one incognito instance. So as long as any incognito tab is alive, your session is potentially alive as well.
This allows us to move tabs across Windows. How would we do that with one session per tab or per window? Also what happens when user opens link in new incognito window?
