Making them tell you they want the keys and give you a reason isn't all bad.
But yes, the proxy ought to do more to encourage people. One problem is that two of the major browsers (Firefox and Chrome) are funded by a company that makes all its money from tracking and advertising (google), and it's pretty unlikely they would turn off third-party cookies by default, which I think would be a good start.
I wouldn't be against a law that requires browsers to make third party cookies opt-in. Note also that the current law has no effect on Google's tracking whatsoever.
But yes, the proxy ought to do more to encourage people. One problem is that two of the major browsers (Firefox and Chrome) are funded by a company that makes all its money from tracking and advertising (google), and it's pretty unlikely they would turn off third-party cookies by default, which I think would be a good start.