Go in to your browser setting and make sure “Allow sites to save and read cookie data (recommended)” is checked.
In Firefox, a user can select: Options -> Privacy & Security -> History -> Never remember history. This places the browser in permanent private browsing. It is then not possible to allow a site to store data.
It is not an acceptable solution to expect WordPress users to change their browsing habits to suite WordPress.
This is a poorly implemented popup that should either be removed or the setting stored in the database.
The response in this thread that the setting stored in LocalStorage is less overhead than storing it in the database is the very definition of technical debt.
Users are responding to this poor design decision which now leads to a support ticket being opened and a moderator having to waste time answering the ticket and community support members trying to offer solutions and users having to waste time explaining why this implementation is incorrect.
Just fix the problem please.