Opera's VPN is not in relation to Incognito specifically.

Incognito keeps all cache in RAM therefor there wont be traces left to HDD. Incognito is very local, while VPN gives a layer of protection from trackers out and about.

Get uMatrix if you yet don't have.

It's not like that it's a few connections (sniffers, trackers, phishers, etc) those blockers block - it's hundreds.