@leocg Would someone please clarify why there are two options then?
Leave and close Private Tabs
Leave Private Mode

Private mode is to leave no history.
Tab open is convenient when stealthily needing to refer back to sensitive links.

Perhaps keep the tabs open and offer a 'shred' button for quick closing of Tabs?
This would satisfy the options currently offered:
Leave and close Private Tabs; does what it says, which is leaves no history and no Tabs.
Leave Private Mod: leaves no history however leaves Tabs open.

Seems like having access to sensitive links adds a secure enhancement for quick access?

Opera 5.3.3 (0) Private Mode actually has an option when closing Private Mode that says:

You are leaving Private Mode
Leave and close Private Tabs
Leave Private Mode
Cancel

Selecting Leave Private Mode implies the tabs would remain open, however this is not the case.