This is a security issue for the users.
Non-compliance of cookie-related laws includes that cookie data is being built about you while on the site, after you have clicked 'opt-out'. If the site does not acknowledge the GDPR (privacy laws) then some degree of personal identifying information about the user is being leaked into the site's domain, stored, and used in ways that amount to tracking. This includes:
- if a banner pops-up saying that cookies are being used and "click OK to accept"
- if no notification is made to the user, but tracking is performed
- if no option nor preferences are given to the user, yet tracking is performed.
- and others
Cookies are one obvious thing to test for, and it is perhaps the only reliable way to test for tracking, since backend techniques would be invisible unless a specific personalization feature remains consistent across pageviews
For some corp's that I have been part of, some lawyers argue that cookies are not illegal as long as they do not connect session data with a personal identifier.
Regardless, this would be a likely vector for errors or misrepresentation, and thus I would expect it to show up in a report dealing with user security.
tl;dr: people don't seem to understand user privacy is a security issue for the user.