If you look into the Firefox or Chrome inspector tools, cookies will still be shown, this is normal and can't be prevented removing cookies only on the client side.
Obviously if you use a cookie audit tool it will continue to see that cookie even if blocked server side. The Joomla session cookie by the way is a strictly technical cookie that would not even need to be blocked.
If you want to enforce the cookie block involving even third-party cookies and blocking all local cookies even server side you can enable the following settings as well. If local cookies are blocked server side, no cookies will be sent by the server so the browser won't report any cookie anymore in the cookie tab.
If you choose to block even third-party cookies, you must manage the list of domains to match all domains used on your website that generate cookies and that you want to be blocked.