Two cookies are used on this site:

The essential cookie is the session cookie, usually called MoodleSession. You must allow this cookie in your browser to provide continuity and maintain your login from one page to another. When you log out or close your browser, this cookie is destroyed (on your browser and the server).

The other cookie is purely for convenience, and is usually called something like MOODLEID. It only remembers your username within the browser. This means that when you return to the site, the username field on the login page will be pre-filled for you. It is safe to decline this cookie; you will simply have to re-enter your username each time you log in.