I know nothing about it myself but it sounds like it was at least designed to be secure and wipe out your tracks. It sounds like the automated equivalent of clearing your history, cache, and cookies (which Firefox made easy to do manually years ago).

The Firefox people have been pretty security conscious for the six years that I've been using Firefox (an older version). Here's their own article on it: Private Browsing.

Sometimes when I'm traveling I use a pay-by-the-minute computer. The software is set up to leave no tracks from the previous user for the next user to find. I've occasionally stepped away from the computer for two minutes, had my session expire, and found no trace of my history, etc., when I logged back in. If Firefox's technology is anything like that, it would seem to be pretty secure!