In many cases, I suppose the developer doesn't know about the cookie dependency (because of a framework or some other dependency). In other cases, I guess they don't care. Rarely does the page actually tell you that cookies are required.
The point is that it is relatively trivial for the developer to add automated checks for per-requisites and display warnings for the ones that are missing. It is a lot harder for each user to manually run down through the list of all the things that could go wrong.
Just don't make the warnings into roadblocks. Inform the user and let them decide to proceed or not.
Most of the time it's a small bar on the top or bottom of the screen. Stop whining.
Regardless of the laws, though, when a site fails to function, it should tell you when cookies are the reason. It's not hard to do.