Also being in the EU I'm used to these cookie dialogues, except before GDPR if I wanted to opt-out (assuming that it was even an option) I'd often have to wade through multiple pages, opting-out of the tracking which would take a while, especially since they were usually using every dark pattern in the book.
Now with GDPR I still get the messages but everything is opt-in instead of opt-out and I can just click the (sometimes obfuscated) "I refuse" and carry on. It's actually a huge quality of life improvement as far as I'm concerned.
Is there something I need to configure?
I know, that's so glib that it's laughable. That's the point.
We currently have a status quo where user analytics are very valuable while the cost of collecting them is minimal. That strongly incentivizes site owners to collect and store as much data as possible. In this moment we have a business culture and a set of engineering best practices that's grown up around those incentives.
GDPR changes the incentive structure by imposing a cost on the collection end, in the hope that site operators will start being significantly pickier about what analytics they want to collect, when, and from whom. The end goal is a cultural change in how we collectively build websites. But culture doesn't change on a dime. It takes time for the existing actors to accept and adapt to a new normal, especially one that's more hostile to their interests.
Be pissed off. Pissed off is an appropriate response to the horrible UX you're being exposed to. But be pissed off at the people showing you the horrible UX. It's in their power to stop, they just don't want to.