It's working for me, either by clicking Open New Private Window, pressing Alt-Ctrl-p or right-clicking and choosing Open Link in New Private Window.

I'm on the same version of Firefox but NOT on Windows.

Maybe you are running Firefox in permanent Private Browsing mode (Always use Private Browsing mode; Never Remember History). In that case all windows you open are PB mode windows and you do not get the purplish mark.

• https://support.mozilla.org/en-US/kb/private-browsing-use-firefox-without-history
• https://support.mozilla.org/en-US/kb/common-myths-about-private-browsing