I believe this is a quite simple and useful option to implement.
I have found the always connect to VPN option, but most of the times, you don't need to use VPNs for tasks such as to check your emails and so on. On contrast, when you are entering private mode, you may be browsing torrent sites and want your identity hidden, I thing in that case most of us want to use a VPN server.
Therefore, it will be extremely easy for a user to hit Ctrl+Shift+N and automatically know he is in incognito mode on that window, without needing to turn on and off the vpn from the button. Another reason to implement that option is that I (and I expect many other users as well) almost always forget the VPN mode on afterwards.