For clarity, that's Firefox Preview Settings not Android Settings. I would probably appreciate being asked since I tend to forget to close things - better to say "i want this tab only transiently, close it some time in the somewhat distant future (but, preferably, keep both transient and permanent tabs available)". Being asked to open it private is almost that.

Still leaves me with ad blocking which is probably the third most important feature of a web browser after the ability to parse and render HTML.

I don't think that's intended behaviour by default: I've never set this up, and links open in my regular session.

I've always assumed that, at some point, I must have fumbled and pressed "set as default" one time when it asked me. I regularly drop my phone, and fumbles that get me into settings I don't want happen occasionally. But it definitely used to ask me every time.