The GDPR does make UX worse. If you have to click away a cookie banner, it's because companies love to try to coax you into accepting as many cookies as they can get their grubby hands on. Storing a cookie for session administration is acceptable. You don't even have to announce it. It wouldn't make much sense, because it's less useful than your IP address (for the purposes of tracking). Only if the site wants to do more, it must get the user's permission.
> nanny state
Sadly, technology is nearly incomprehensible to most people, and the state must protect their rights. The rest is either an authoritarian or libertarian fantasy under the pretense of liberty.