Upset over nothing, indeed.
The cookies are from advertisements, which are on virtually every webpage you visit these days - so good luck with getting away from them.
And WMT doesnt have access to nor keep track of any of the information gathered, its all marketing/advertising/money-making-please-click-here's that is tied into that advertising/pop-up software embedded into the webpage..
Dunno if you've noticed, but the ad's you see on this forum are generally tied to other topics you've either visited or researched on your own... The ads play off the cookies already on your computer, which got there when you searched for the topics in the first place.. It just helps the marketers gear their advertisements towards things your actually interested in, in hopes of creating more traffic-clicks
So yes... Upset over nothing is a pretty correct statement.