OK, your settings are only blocking from other websites & advertisers, so that shouldn't be a problem. I would choose ' Details' from the Privacy pane & remove data for your bank, then quit Safari & test again.If you still get the message, temporarily change the 'block cookies...' setting to Never & try once more.
If you still have problems even with nothing blocked - test in a Guest account on your computer.
Some websites get confused after new browser & OS versions are introduced & produce spurious messages that don't really relate to cookie blocking. You might test with another browser, say Firefox, & see if that lets you carry on.