I haven't really looked into it too much, but... Aren't they actually right in this case?
Sure, reading "we can't protect your privacy because you're using privacy-centric extension..." feels like bullshit, but from how I understand it based on the screenshot, the issue is that you have blocked the cookie permissions pop-up, whose main reason is to give you an option to opt-out of any tracking cookies, thus protecting your privacy. While also being required by law.
However, this depends on how exactly is the law formulated. How does it deals with a case where you don't accept, nor decline any cookies, and just ignore it? Are they not allowed to save any cookie until you accept it and specify what exactly can they save? Or should they not let you use the site until you accept it?
I vaguely remember that it used to be enough to just have a OK-able warning that this site is using cookies, but then it changed to include a choice to opt-out. Which could indicate that unless you opt-out, which they are required to give you a chance to, they can use whatever tracking cookies they want. And if that is the case, this message is actually correct.