Firefox does not distinguish cookies based on their purpose or legality. It simply allows, disallows, or clears cookies based on the host name of the server setting them. So which cookies actually get saved by an allowed site depends on what the site does.

Websites subject to certain legal regimes will ask you what cookies you allow them to set. Depending on your choices, they may set fewer than the number they otherwise would have set. Assuming the site is trustworthy, you should get what you asked for, and Firefox will not contradict your choice.

You can check that you aren't clearing important cookies.

• using "Delete cookies and site data when Firefox is closed" to clear cookies keeps cookies with an allow exception
  in 102+ version toggling this setting makes changes to the "Clear history when Firefox closes" settings and those settings prevail
• using "Clear history when Firefox closes" in Firefox 102+ honors exceptions and keeps cookies with an allow exception, previous versions removed all cookies

Make sure to keep the "Site settings".

• clearing "Site settings" clears exceptions for cookies, images, pop-up windows, and software installation and exceptions for passwords and other website specific data

• Settings -> Privacy & Security
  Cookies and Site Data: "Manage Exceptions"
• Settings -> Privacy & Security
  Firefox will: "Use custom settings for history":
  [X] "Clear history when Firefox closes" -> Settings

The internal "Allow" cookie permission is only applicable to how cookies are treated locally, it does not tell the website to allow non-essential cookies.