Cookies store what you do on sites. If you add an item to your shopping cart, it will store an id to let the site know who you are next time you visit, so it can keep the item in the cart. If you change the site to a dark theme, it might alter the cookie so it will start in dark mode when you come back later.
Denying a pop up cookie message will mean it won’t store cookies and so the site won’t know who you are when you come back.
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