No, tracking cookies are a waste of time and effort - Don't worry about reported tracking cookies they are a minor issue and not one of security.
Set your browser up not to accept 3rd party cookies (cookies from different sites to the one you are on) and that will go a long way to blocking things considered tracking cookies.
Some anti-spyware make a big deal out of this, to effectively make it look like they have found something serious. I use SAS and I uncheck the option to even scan for so called tracking cookies.