> I didn't even see that, I guess because I have both popups and cookies blocked

The notice is likely EU (+ UK) specific for GDPR compliance, if you're elsewhere.

> so it's not like they could store data even if they wanted to. I don't need to know about their attempts that are going to fail anyway

They're also using fingerprinting:

> > "[...] together with other information (e.g. browser type and information, language, screen size, supported technologies etc.) can be stored or read on your device to recognise it [...] Actively scan device characteristics for identification [...] certain characteristics specific to your device might be requested and used to distinguish it from other devices (such as the installed fonts or plugins, the resolution of your screen) [...]"

If you're using something like Tor browser that does its best to hide those characteristics then you may be fine.