Vlad I think a little color is always nice, like the purple on this page. Brave has the most visually aesthetic private mode I've seen, but it may not be for everyone. I like minimalism, but a little color is cool, IMO.
There have been times I was in private mode with Orion and didn't realize it. I think with heavy usage it become clearer, but it's not intuitive at first, unless looking for changes.