Ask a bunch of clueless lusers...
Essentially someone somewhere perceived there was a problem, probably involving the EU data protection laws, with cookies being used to track user behaviour on websites, or on syndicated groups of websites. Rather than taking a good, hard look at how web browser cookie controls can be set up to prevent this sort of abuse (Firefox anonymous mode, say, or discard all cookies on exit), the EU defaulted to its normal mode of operation and set about making up a law.
Nobody in the EU lawmaking process actually properly understood the problem, therefore nobody there saw that the solution was to hint to browser makers that making the cookie controls finer-grained and easier for the dumb luser to (mis)use was probably the way to go; this shifts the onus onto the end user and takes lawmakers out of areas where they really shouldn't be treading in the first place.
Effectively a perfect solution would be similar to the Microsoft IE internet controls GUI; a simple slider from "Completely Open" to "Paranoid, almost unusable" plus an advanced section that users with a brain can use for fine-grained control, and every other luser can look at, go "Duh whazzat?", and resort to the simple slider instead. This would more or less solve the problem for a while, until the advertisers thought up a different tracking wheeze and the cycle would begin again.
This sort of arms race between websites and browsers has occurred before, with font size controls. HTML originally had no way for a website to easily specify an absolute text size; the user defined a useful basic text size themselves and all other fonts were relative to that. Then absolute font sizes were introduced, and shortly afterwards browser controls to override these directives were also introduced...