The feedback request to allow the InPrivate Filtering to be turned on pernamently
have been implemented in IE9 Beta 1, however there is no Status Bar icon to indicate that it is active....
The only user cue is the tick on the drop-down Tools menu from the Menu bar, which itself may not be visible.
The danger here is that many sites will be using common CDN resources like jQuery and Mootools and depending upon the users InPrivate filtering settings these libraries will be blocked automatically, resulting in scripting errors and poor site performance.
Further many of these libraries rely on Feature detection and if not present (viz they are blocked by the InPrivate Filter) and will cause futher errors in inline scripts.