I think you and I interpreted "this site" differently. I interpreted it as the site being linked to, this referring to the subject of the comment. I think you're interpreting it as hacker news?
At this point I'm not sure what was actually meant. The website of the article doesn't set any cookies on my machine, and HN's session cookie likely doesn't need ePrivacy directive consent since it's actually functional.
Maybe you've got an extension or something that prevents the cookie from actually getting stored?