Cookies in Safari even when blocked?

Does anyone know why this happens in Safari? 😕

In Safari Preferences under Privacy, we can click the "Remove All Website Data..." button to remove all stored cookies.

Then under the "Block cookies" option we select Always with the intent of blocking all cookies.

However, when we navigate to any site (including www.apple.com), cookies are still being stored on our computer (as indicated in Safari Preferences / Privacy).

Is my understanding of blocking cookies not correct?

Thanks 🙂