What do you mean by "open them anonymously"?

When you send a tab, the Firefox Sync system is going to send them from your phone to your computer. The behaviour described in your post sounds like how the system is designed to work.

I mean in a non simple window but in a window "inPrivate"

Currently, it's not possible to send a tab via Firefox Sync and have it open directly in a Private Browsing window. That would be a nice feature though.

If you want to leave feedback for Firefox developers, you can go to the Firefox Help menu and select Submit Feedback... or use this link. Your feedback gets collected by a team of people who read it and gather data about the most common issues.

Thanks I did as you said!