Safari private browsing only for first window
In Safari's Preferences, under General, a pull down menu titled "Safari opens with:" with the following options: A new window, A new private window, All windows from last session.
However, when "A new private window" is selected Safari only opens the first window as a private one, after closing the first window, any other new window opens in a normal browsing mode.
Will this issue be solved in future updates or how can I get only private windows without closing the app completely every time?
OS X Yosemite (10.10.3)