To know why this kind of warning, you need to understand what cookies are capable of doing.
Cookies are a feature of web browsers that store small information on the computer so that websites can "remember" some information, such as logins, preferences and others.
However, advertising agencies and companies use it to track netizens in order to know their preferences, often commercial, which has led many anti-spyware programs to delete this type of cookies.
From time to time you can delete cookies, normal, the site will reset new, if you allow, every time you enter it, no stress, do even periodic cleaning.
However, there is a mechanism called "evercookie" which allows a website to store some information on the computer, allowing the user to always be tracked.
Six steps are required to remove an evercookie from Firefox. In Chrome, there are four. For Safari, on the Mac, a specific code has been created. Bleachbit cleaning software is able to erase evercookies from Internet Explorer. On some devices, with iPhone, deleting evercookie is a real war.
Of the private browsing modes, only Safari completely prevents evercookie.
That is a European law, unless mistaken.
– Inkeliz