A cookie will eat up latency on every request. If the amount of data is non-trivial (and UI customizations can be, there're some fairly demanding users, and oftentimes it's helpful to store a history of what they've done recently so you don't prompt them for things they have no interest in doing), that can be a big usability hit, and even run afoul with HTTP request-size limits.
Using local storage or manipulating the path to avoid the cookie being sent to the server are a solid option if you need to store UI state for non-logged-in visitors of a highly trafficked site.
Obviously solutions are not zero-sum but having to deal with a session store that brings its own latency, state, garbage collection issues, etc, is something I've found to be sub-optimal. But to be clear: We're talking about specialized techniques that don't apply to most websites.
Though most of my experience is at a social network (not the social network) and building out advertising platforms. I've certainly never had to worry about storing so much UI state data that I'd be concerned about its size. Your experience seems a bit different and obviously at this level everything is subjective.
