The reason for this warning is this legal provision:
the storing of information, or the gaining of access to information already stored, in the terminal equipment of a subscriber or user is only allowed on condition that the subscriber or user concerned has given his or her consent, having been provided with clear and comprehensive information… about the purposes of the processing.
—Article 5 (3) of European Directive 2002/22/EC, as amended by Article 2 (5) of Directive 2009/136/EC
If this provision had been established in 1995, it would have made sense. If it still existed in 2009, it should have been abolished. And yet lawmakers established it in 2009. You know the result.
Privacy is a huge issue. Making real progress at the legal level can be achieved only by taking some very bold steps. Unfortunately, governments are unable or unwilling to take them. As a result, they implement solutions like the cookie directive and the GDPR, that miss the forest for the trees. They cause pain to users and businesses that use personal data legitimately, without achieving anything about restricting surveillance by Google and Facebook.