It's not hard to track you even this way, if you're using the same browser. You already have a unique code assigned to you (the session id) and they can make a permanent cookie too, so it will be the same the next time you open the browser. When you login, they just link everything together. I'm not saying they're doing it, but it's not hard to do. Of course, there are ways to avoid that, like using different browsers or removing cookies. And even this way, they can link your data with pretty with high accuracy if they use your ip and time (how many people that are on the same IP, that is known to belong to an ISP and not a corporate ip range shop on the same time on the same site?).

In reality, Amazon doesn't link incognito browsing to your regular session.

Probably not, but we're not as safe as we'd like to think we are.