You make it sound like the cookie consents are the only think the EU tackled, ignoring that it is only one small aspect of the EU's data privacy & protection legislation, which is having a big effect globally, not just in Europe. If you look at the GDPR penalties & fines so far you won't find any about cookie consent but you will find a lot of examples of bad governance, incompetence and bad data use, which people should be concerned about. Your "nothing" in this case if actually quite a lot of oversight which many people are happy about (even it it's a constant consideration for some of us working with data).
Your example of other ways to gain data about somebody is ALSO covered by GDPR. What's called the cookie consent is about customer data in general. All data provided directly or indirectly by a site visitor is subject to GDPR consideration, regardless of method.
As to not being asked if you personally want a law to exist or affect you: that's not how laws & governments work. If you're in the EU, then it's part of the governing institutions that we contribute to. If you're outside the EU, then it's the choice of the website you're visiting if they provide different experiences for you vs European visitors but again, you have an individual choice about if you visit those sites but your individual opinion doesn't get to decide how somebody else's web site operates and which legislation they adhere to.
It sounds like this is more an issue of personal inconvenience, which most of us share. The problem here is the implementation (e.g. it could have been more directed at browser vendors to implement global privacy controls) but while the current execution is bad the underlying reasoning for data protection is sound.