I have enabled the "Block Cookies" parameter but there are still some cookies on my browser
It means that you have some scripts on your website which are loaded outside of the tags .
If you can find these scripts and include them into the tags, the cookies that coming of these scripts will be blocked automatically.
More info about how to block cookies on your Joomla! website you can find in this useful article: https://docs.web357.com/article/15-how-to-block-the-cookies-on-my-joomla-website