When you are in a private window, the New Window command (both menu and shortcut) opens a new private window, not a new regular window. I'd expect this command to always open a regular window, especially since the New Private Window command is still also present. Firefox and Chrome always open a new regular window with this command. This also means that if you've closed all windows except a private window, you can't open a regular window from the application. Using falkon -w and the task manager menu option work correctly. I'm using Falkon 3.0.99 from the Falkon Testing PPA (https://launchpad.net/~tsimonq2/+archive/ubuntu/falkon) on Kubuntu cosmic. QtWebEngine version 5.9.5.
I guess there are two angles to this. A user may accidentally open a new window expecting it to still be private and type sensitive data into their regular profile which is then cached and less secure. The other is what you've run into, if your last window is private you can't open a new regular one. Perhaps a notification when opening a new regular window from a private one saying "You're leaving private mode." or similar.