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I didn't know about clicking the address icon, but now that I try it... I'm seeing approximately the opposite of what you're reporting. Firefox is telling me that Tracking Protection is working for _all_ pages that have tracking elements (including this one), whether they're private windows, private tabs... or ordinary (not private) windows or tabs!
Maybe there's some about:config settings that affect this? Or might the FF alert be feeding off the anti-tracking filter installed in AdBlock Plus or some other extension? Seems unlikely... Moz said they were adding anti-tracking to private windows, not for _all_windows. I have no idea what's going on here.
Indication doesn't work (and this should be corrected, of course), but looks like tracking protection is also enabled for private tabs (you can check this through built-in developer tools, Network tab).
But all these requests will be (most likely) blocked on all tabs, if already used something like Adblock Plus.