I'm not sure at the moment how this needs to be handled correctly. In general it's an essential cookie and you can't continue w/o choosing something. For Non-Login based systems, it should simply be deactivated in the configuration.
Since TYPO3 6.2 the frontend cookie is only set when needed, not set by default anymore.
From the Changelog:
The cookie "fe_typo_user" set in the frontend by each request, is now only
being set if the session data is used via $TSFE->fe_user->setKey('ses')
so it can be used for shopping baskets for non-logged-in users
out-of-the-box without hacking the default behaviour of setting the
cookie.
The previous behaviour always set the "fe_typo_user" cookie, but changed
the session ID on each request, until it was fixated by a user login.
The superfluous option "dontSetCookie" is now ineffective as the cookie
is not set anymore by default.
The question is, how to prevent TYPO3 setting the cookie (if needed) before the optin was confirmed?