That functionality has been removed as it made fingerprinting easier. Please report websites that gray the page, I'll check them.

You should tell that to browser developers, they decide which extensions can be available in Firefox Preview.
https://blog.mozilla.org/addons/2020/02/11/faq-for-extension-support-in-new-firefox-for-android/

Sure it is. You can install it into Firefox for Android.

Whenever you see that message, that means that I've seen the already existing report and checked the website and I really can't see the warning unless I disable the extension.

That is valid for Firefox on Linux, Chrome, Opera and most other browsers. But in Firefox for Windows... that's another story. I have reported it to them but they don't do much, I can't do anything else.

Try switching to Chrome for a while - just for a while :) - and you'll see there are no cookie warnings on those same websites.