@Frank_Weber made a topic asking about this but it was too old for me to reply there so I’m making a new post.
To disable private mode. create these registry keys
HKEY_LOCAL_MACHINE\SOFTWARE\Policies\AVG\Browser
Then inside that create a new 32 bit DWORD called IncognitoModeAvailability and counter intuitively you need to set the value of this to 1 which will then gray out the menu option for opening a private window.
While you are in there you can also disable the set as default browser nagging by creating another 32 bit dword named DefaultBrowserSettingEnabled and set the value to 0