john Hi there, thank you. I will quickly try to explain a bit. First, the cookies are required to use the dashboard. It is technically not possible at all to have a dashboard without cookies. They are an essential part of the client/server communication.
To give you the short version — there is only one single cookie created by the CMS and that one doesn't store any tracking information of your site's visitors. It only handles dashboard sessions and those are essential for the functionality of the site. They simply can't be removed.