In general a good idea to just be on top on what headers your web site actually sends and generally know what you are doing with things like cookies, etc. on behalf of your users.
That's already something you need to do and be on top off for legal reasons. Just because lots of website maintainers are kind of indifferent/hands off/sloppy/ignorant on this front does not mean it's OK for you to be that way. This is just another thing to take a conscious decision about and pay attention to. Things that you are in any case supposed to know and pay attention to. Comes with the job of running a website. Your content, your problem to deal with. Or not. Normal due diligence. Should be business as usual.