Going Incognito via Google Chrome raises a query!

Whenever I launch Google Chrome, I get the following message:

You've gone incognito. Pages that you view in this window won't appear in your browser history or search history, and they won't leave other traces, like cookies, on your computer after you close the incognito window. Any files that you download or bookmarks that you create will be preserved, however.

What is it? if there any keylogger on my system? Is my system on risk?

Whenever I launch Google Chrome, I get the following message:

AFAIK, there are some keyloggers that are already designed to surreptitiously install as the payload of a trojan horse program. Arguably, a legitimate keylogger wouldn't need to do this.

Its talking about Facemoods. A Facebook app.