Yes, it is legal to use incognito mode on your device. This is because it simply prevents the local computer from storing any of your online ventures. You have permission and authority to control the sites you visit. It is not a legal violation. This is why most browsers have an inbuilt incognito mode that you can enable whenever you like.
It is there to protect your search history on public computers and in essence is a useful feature at certain times. Of course, it isn’t of value on the day to day basis as it becomes hectic, trying to keep track of all the different sites you need to revisit if you don’t have history to guide you.