Private Browsing NOT working

When working on with private on I close the program then open it back up and I can go right back into my email. It should make you have to log back in again. Also I can not change the settings in the privacy tab under options. Any time I change them and hit apply. I can go right back and they are exactly the way they were before I changed them. I need some help with cause it is starting to get annoying.

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