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.
The grade F is a fully subjective evaluation and has probably to do with the fact that a lot of people nowadays misunderstand regulations like the German DSGVO. Those regulations don't allow tracking user data without the visitor's agreement. To track user data, for example analytics services have to use cookies. But that doesn't mean that cookies itself are bad. The regulations actually state quite clear that it is about what is stored in the cookie. They also say that it is totally fine to use cookies that are essential to maintain functionality of a site. That for example applies especially to CMS, web shops or similar.
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.