Hello,
if you look into the Firefox or Chrome inspector, cookies will still be shown, this is normal and can't be prevented.
The cookies by default are blocked using javascript code after the page is loaded, so a browser console will continue to show them in the inspector.
The Joomla session cookie moreover is blocked server-side, so despite the fact it's still present on the client browser it's blocked by PHP.
If you want to enforce the cookie block involving even third-party cookies and block all local cookies even server side you can enable the following settings as well.
