It would be interesting and important for secure web navigation if it was possible for Brave automatically switch to a proxy connection, or even to another connection protected by VPN, configured on private mode windows, creating a kind of shell involving all the navigation, not only inside de the Brave, but also in the connection. Nowadays, we don’t feel integrally secure just by the Brave not save my information inside the browser.
I know there is a similar resource with private mode with Tor network, but it is extremely slow, and a particular VPN proxy give us velocity in the connection and more control under our data.