I know most (all?) browsers with private browsing create a whole new window for private browsing, but personally I think it would be nice if I could instead just create a private tab in the current window, but have it clearly indicated, with any links accessed within it opening as private tabs as well. In a browser with sandboxed tabs I don't think there should be any reason why it has to be a new window. Requiring a new window on Mac is especially annoying when in Fullscreen mode, which can be unwieldy with anything fullscreen. With Vivaldi's native windows option unchecked this isn't so bad as windows can open over a Fullscreen one, but if I already have my current window the way I like, then a new private tab would just be so much easier. It doesn't look like there's currently any visual indicator of a private window/tab in Vivaldi, but this could be easily achieved by having a fixed tab colour, or perhaps using some kind of patterning? Basically when using an app Fullscreen I don't ever want to open windows for any reason
It's a requested feature that surely is in the todo list of Vivaldi team.
But for now you have to live with private windows only, Sorry..