Hi @Juan C Lourido
Could you please provide a screenshot of the pull-down menu with shaded option? Does the shaded option have a symbol at the end like below?
If so, I think it's group policy which cause the issue. Could you please also provide a screenshot of this page edge://policy/ in Edge and check if there's InPrivateModeAvailability policy like below?
If the policy exists, please don't configure this policy then InPrivate window can be used.
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Regards,
Yu Zhou