What? I don't get what's the problem. I have an old Asus router and for the first time configuration, I need to enter to router.asus.com, or enter the router's IP, which comes in the paperwork. When you do that, you connect DIRECTLY to the router. Therefore, you're not going to be asked for any cookies since they are not required. Once there you can configure anything you want.
I also have a Linksys router which works the same way, so I think that's pretty standard.
Also, as many others have stated, not all cookies are bad. Cookies main reason to exist is to store your preferences (If you switch to dark mode, if you wish to stay logged in, a meta cookie to store your choice of not allowing tracking cookies,.etc.). The reason you're being asked which cookies you want is because some privacy European regulation, if I recall correctly. That pop up asking you to configure which ones you want is your friend , not your enemy.