Hi again,
Unfortunately, any content downloaded outside of Jav-It will be stuck with whatever DRM was applied to it. Jav-It works by pretending to be the browser and decrypting the video as it is being sent to it. The encryption key used is the one supplied to it at stream time and this key has a limited lifespan. This prevents people from just outright sharing the keys for a particular stream. But if you want a less restrictive copy, you can download and decrypt the stream on your PC and simply copy the movie over to your mobile device. Less DRM means more video players will be able to read it no problem!
Cheers!
Edit: And yes, being in Incognito mode will cause issues with your cookies, because the whole point of going in that mode is to prevent things like cookies from surviving your history. (^_^);