Microsoft Edge as part of Windows 10 is a lucky and spared web browser but due to the lack of other common features like other web browsers have, it has the lower user-base than even Internet Explorer. A past news from Neowin was regarding the bug in Microsoft Edge that didn't make it secure in InPrivate Mode like it made the browser misleading about that mode. It's a bug that you should get over it and Microsoft was already aware into resolving the problem the researcher had discovered.
The InPrivate Mode somewhat behaved like the normal mode when browsing with Microsoft Edge and your browsing history could be vulnerable to cyber-attacks. A trained cyber-security professional should be able to know more about security flaws in details and I'm no professional in cyber-security but I do have enough knowledge in the IT parts including the enterprise related IT tools that I had used before. Speaking of those tools, the amount of my knowledge wasn't quite enough for my IT Professional career.