I agree that "I don't have any" is more natural than "I don't have an", especially when the meaning is "I have zero, as opposed to 1 or 2 or 5".
I think "an" is acceptable in the example sentences. I've heard/read "I don't have an incentive to..." many times. In those situations the comparison is zero/one, not zero/more-than-zero. It is the same syntax as:
- I don't have a car to drive to work.
- He doesn't have a home to live in.
But it is good to point out that "any" is better.