Can I stop every site from asking about Cookies?

You're not supposed to be asked every time. Something else is wrong. Enable cookies in Safari on Mac - Apple Support is all that you can do.

Review all these suggestions: If Safari doesn't open a page or work as expected on your Mac - Apple Support.

I also assume you are not using a VPN, or any so-called "security" products, no "anti-virus" junk, etc. That should just go without saying.

I assume that you did not deliberately disable cookies in Safari: Enable cookies in Safari on Mac - Apple Support, and that you are asking about the "disclaimer" that states "this site uses cookies" or words to that effect. Is that correct?

That ridiculous disclaimer is required as a consequence of legislation enacted by the European Union some years ago: https://gdpr.eu/cookies/

Significant monetary penalties can be imposed upon an individual, company, or organization found to have violated those regulations, so they are here to stay. The disclaimer's utter uselessness as it applies to your privacy and data security is for you to decide.

Since the message is generated by the web site, which we have no control over, there is nothing we can do.