Actually it often is a separate cookie per tracker because that's convenient for the trackers. But the only reason they don't put in the effort to do it the way you said is that browsers don't have the feature to block individual cookies. If they did, they would.

Some browsers like Midori do the sensible thing and ask you for every cookie, whether you actually want to have it. Cookie dialogs are then entirely redundant. You can click accept all in the website, and reject all in the browser.