Right now, the screen just says Cookies, with a default setting for all websites. That creates an expectation that it applies to all cookies.
One possibility would be to change it to say First-party Cookies. That would clarify what the setting is for, but it might leave the user wondering how to control third-party Cookies. A message directing a user to the seperate setting which controls third-party cookies would answer that.
I think Vivaldi handles this first-party/third-party distinction really well. See attached image. (Fair enough if you want to do things a different way with Orion; I'm just saying the GUI should make it clear what Orion is doing.)