I use incognito mode at work as a quick test for cookie/caching issues. I ran into a bit of an issue with it this morning after an MOE update yesterday. Using the shortcut (ctrl + shift + n) did nothing, and the tools option showed incognito mode greyed out.
After a bit of Googling I came across a registry value that had been added to prevent incognito mode. The fix for this is pretty simple, just remove the value. There are a few variations on this so you may have to do a bit of digging to find which one has been added to your machine (Run > regedit or C:\Windows\regedit.exe).
One additonal note, my unwanted registry key was added during the login process each time I removed it. A quick way around this is to do up a quick batch script to remove it. Just modify my one below to include your registry key and throw it in your startup folder:
reg delete HKEY_LOCAL_MACHINE\SOFTWARE\Policies\Google\Chrome /v IncognitoModeAvailability /f