And likely because they're immune to their own laws.
Based on this mentality they should take it further, EU should also sue the IETF or Lou Montulli for inventing the HTTP cookie header.
The other thing is the cookie header is not the only one you can use to track visitors. Browsers send various other headers for instance cache headers which can be used for tracking. In terms of privacy, the ICO site is no different it does sends these headers which pretty much violates what they advocate. IPs can also be used for tracking although it may not be as reliable, it's still possible and with the IPv6 coming it can be improved.
So tracking is here to stay one way or another. Those who believe they can eliminate it live in a dreamworld.