DeletedUser1110 It will make a lot of websites not work, it just mean no cookies, which is why it works if you enable third party cookies as it also enabled first party.
No real reason for it, you should just use incognito, almost the same. The difference is that in incognito when you close the tab/browser, all the data is lost while in no device site data, there was never data. It doesnt mean that websites cannot spy on you, just that they cannot run cookies on your device.