That's the way things used to work, but these popup dialogs became an annoyance as sites started using 3rd-party cookies pervasively, and the simpler "always accept"/"always deny" model took hold. Perhaps with 3rd-party cookies being increasingly limited by default browser configurations, we'll ultimately turn back to that model.
and to this day, cookies in firefox are managed in a hidden box with a giant list of all the sites you've ever accepted. they don't want you to manage these permissions.
but for permissions they intent for you to manage, you click the security icon and you can revoke what you don't want. if the only permission you granted is the right to store cookies, it says you haven't granted any permissions, although this is a lie.
I remember at one point -- not sure exactly what year, I'd guess around 2010-2012 -- Firefox had a cookie option "ask me every time". It popped up a dialog each time a site wanted to set a cookie, with options to accept, decline, and whitelist/blacklist the site that was asking.
I used it for a week or two, maybe. I stopped because it made the web unbrowseable. If you think one banner per site is bad, imagine at least 5 consecutive popups to start, plus the possibility of more when you took any persistent action our the site loaded a new 3rd party resource. And if you don't choose the whitelist/blacklist option right away, it's the same thing the next time you visit.
I stuck with it until it became clear that I was not going to run out of domains to whitelist -- ie, this was a never-ending workload -- and switched to accepting only first-party cookies. I don't think there was an option to decline 3rd party and ask for 1st party; I probably would have used it.
