Are there extensions to manage cookie storage, and block "third party" cookies?

In Safari: Preferences: Privacy I have selected "Block cookies: From third parties and advertisers", yet third party websites and advertiser sites continue appearing in "Cookies and other website data", for manual deletion.

Why is this happening? How do I really block data storage from third parties and advertisers? I'm concerned about their tracking my behavior, possibly trying to access my passwords, etc. Is there a Safari extension to manage which cookies are stored or automatically rejected? It would be nice to have a safelist, e.g. "allow cookies from these pages, block all others"; why is this not a feature? Can you recommend an extension that does this?

Thanks for your help and time! 🙂