I have also noted that certain sites will be very user hostile if you do this. Reddit will load the site and actually overlay a white screen to make it appear like it never loads if you block its cookies.
That's CRAZY. Couldn't reproduce in Edge though.
preventing the Reddit script from executing (uMatrix) will prevent the white screen overlay, also.
The problem with simply blocking cookies is that you'll break session handling at web hosts. That's probably why Reddit fails to work. And you don't need all that to avoid cookie tracking.
EDIT: Yep, looks like it's not compatible with the latest versions.
It has been broken for a long time and was eventually removed: https://bugzilla.mozilla.org/show_bug.cgi?id=606655