The "Disable toolbars and extensions when InPrivate Browsing starts" machine setting should be configured correctly.
enabled/disabled
Computer Configuration\Administrative Templates\Windows Components\Internet Explorer\InPrivate\Disable toolbars and extensions when InPrivate Browsing starts
HKEY_LOCAL_MACHINE\Software\Policies\Microsoft\Internet Explorer\Safety\PrivacIE
Microsoft Tool: Security Compliance Manager (SCM)
Microsoft Baseline: Internet Explorer 8
SCM URL: http://go.microsoft.com/fwlink/?LinkId=113940
Microsoft Security Compliance Manager (SCM) Baselines and Settings Packs
Microsoft