If it wasn't, the 0xchat is not setting the DM of your friend per spec. Or there is a bug somewhere.
Either way, Its not a good idea to not know which relay is being used if the DM relays aren't there.
I was able to manually enable incognito mode in Amethyst. Looks like it was just something with one contact now that I'm on the latest version. 👍
Get him to add DM relays to his account.