Incognito mode isn't a good example as cookies can be set in incognito mode, they are just deleted when the window is closed. So, in that case, the Visited Web Page activity would still be recorded. A better example is that the user has cookies completely disabled in their browser so that cookies can't even be set.
Visit Web Page requires that Munchkin be executed on the final target link (i.e. the link you enter in your email, before Marketo rewrites it to bounce off the tracking server). This will not happen if:
JD's point about Incognito/Private, which in current Firefox turns on anti-tracking automatically, is also valid, but it's unlikely to happen in response to an email click.