According to Apple, you don't need that option any longer : they take the view that leaving all cookies enabled, and allowing Intelligent Tracking Prevention to remove undesirable ones, is a better way.
Intelligent Tracking Prevention.
Remember when you looked at that green mountain bike online? And then saw annoying green mountain bike ads everywhere you browsed? Safari now uses machine learning to identify advertisers and others who track your online behavior, and removes the cross‑site tracking data they leave behind. So your browsing stays your business.
Manage cookies and website data - Apple Support
https://9to5mac.com/2017/09/15/what-are-cookies-how-do-cookies-work/