Their site, their rules. Just like you can't read some forums unless you registered.

I’m assuming that this is paid access, right? Does the signup process mention this “hidden fee”?

There are two levels. One has ads. One doesn't. Presumably they're doing this to force their ad-viewing users to actually watch the ads.

Even though, paid printed newspapers have ads so I am not sure we should expect a paid subscription to be ad-free. But again I wouldn't like those ads to track me across other medias.

What law would they be breaking exactly?

I am not fully sure about this, but it might be against the GDPR? From what I understand you aren't allowed to block someone if they opt out of non-essential stuff. However the GDPR hasn't been tried on anything like this yet, so it'll be interesting to watch in the future, but I am not expecting anything soon.

CBS All Access is US-only AFAIK, so I don't think GDPR is a problem for them

US and just launched in Canada too.

Ah, then in that case, it's not against the GDPR, but if it was accessible from the EU, then it would be. In a way, this is the sort of thing the GDPR is designed to prevent.

Please - go file a GDPR complaint