Am I secured even when using the “Incognito Mode” of Google Chrome?

For ZenMate to work properly when using the "Incognito Mode" you have to allow ZenMate for this mode by checking "Allow in incognito" next to the ZenMate extension in your browser settings at Chrome's extension page.

You can then see the ZenMate shield in "Incognito Mode" and use it whenever and however you please.