I did Tools | Private Browsing. But it left one window open (out of 3 or 4 I think) and did not get into private browsing mode. I was not able to reproduce. 20111123 trunk build iirc
Oh, and the windows which did close, were not presented in History | Recently Closed Windows (which may be as designed)
Can you reproduce this problem?
no, only ever saw it once. OTOH I rarely use private browsing - maybe 2x per month.
Please reopen if this happens to you again. Thanks!