There's all kinds of cookies - first party, session, persistent, 3rd party...
Cookies are not to be feared. Most cookies enable a site to function in the way you see it now, and are not evil data stealing things. Other cookies assist in the (anonymised) collection of data for things like Google Analytics, or enable you to stay logged in, or store your preferences in a given way.
For the most part, first party, persistent and session cookies are nothing for the average user to worry about. Not accepting these cookies would have an affect on how a given site functions for you.
The worst kind of cookies are 3rd party - they are used aggressively by 3rd party advertisers and usually result in annoying spammy pop-ups. Most reputable sites never use 3rd party cookies.
The EU directive on cookies, obtaining consent and data privacy aims to make the gaining of consent and informed decision making for the user much more transparent. For web managers like me, it is a logistical nightmare. For the user, seeing this new message about being asked consent to continue will probably make them more nervous until it becomes the norm.
It is literally saying - all those cookies that made the site function for you before? Now you've gotta accept that function first before the site will function, is all.
MN doesn't have you by the short and curlies. MN has to comply with the EU directive that is aiming to make MN more transparent to you about what it has always done - which is namely to offer you functionality such as staying logged in, functionality that requires certain kinds of cookies. It is pretty much the opposite to what you're afraid of - if MN was selling your data, it would have to let you know in that message, not use that message to then sell your data.
I hope this helps - pity me, I manage 27 sites in Europe, all with different local data privacy laws and all must also be compliant with this directive!