There is always a choice. It is not the law that makes them display this, it is their choices that made them need to comply to the law.
I guess you’re worried about it being used more nefariously, especially by the third-party trackers themselves. If so, I’m also a little concerned about that, but I think the good probably outweighs the bad.
I am aware that they are doing this to improve their website, but I don't get why so many are saying that it is because of the EU law or that it is a bad law.
Yes they have to show this dialog because of the law, but they decided that it is worth it for their analytics. That was their decision. They could also have said that they would be fine with less analytics and less tracking and gotten rid of the dialog. It can also not see why it is a bad law since it is exactly doing what it is supposed to do: Prevent or inform about tracking by the Tech giants. M$ and Google don't really have a huge amount of trust from the general public that their tracking is the good kind.
[1] https://eur-lex.europa.eu/LexUriServ/LexUriServ.do?uri=CELEX...
I'm surprised you assumed it was GDPR since the cookie popups have been around for years and are hard to miss.
Those cookie popups have been a misinterpretation in the first place, the general recommendation for them already redacted by the one data protection agency that first formulated that consequence as requirement based on the regulation from way back then. They are completely out of date now. Note also how the site you link does not require them - it instead completely blocks the site when cookies are not allowed by the user, which is a different beast.