I think this is a bug, or at least, UI inconsistency.
My privacy mode is on, meaning that history is disabled. If so, why does "Recent" still showing on Files sidebar? There's no purpose for it any more.
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This issue has been raised here: https://github.com/elementary/files/issues/1167. Pressing the Recent bookmark with history off displays an informative message with a link to the Privacy settings so it is not entirely useless.