When the last Orion window in focus was a private window, 'make link preview a new tab' will open the tab in a provate window. However, all the sites will be logged in as if it was a normal window.
I would either expect it to open in a non-private window or to maintain the current behaviour but with only the appropriate data.
(As can be seen in the video, the tab opened in a private window but it is logged into google, if you visit other sites, you will notice that all sites that are logged into in a normal window will also be logged into in this tab)
Version 0.99.127.1-rc (WebKit 619.1.1)
Sonoma (14)