Sure, you can override your security, which is what you are doing.
I could do it too, but I won't.
The site uses Third Party cookies with NO Compact Security published.
They could be placing cookies that have personally identifiable information. In fact it is just about a given.
I'm glad that you run spyware and found nothing.
But as a guy who made his living in the computer industry for 40 years, may I suggest that lettting the bad guys in and then hunting them down is not the best way to go about it.
I have no doubt that the site is legitimate.
I also have no doubt that they are selling information as their is no reason not to have a stated privacy policy with cookies set in an appropriate manner.
There are cookies from other companies BTW that get placed on your system besides theirs.
The ones that are bad are
www.motorplace.com
www.assets.cobaltnitra.com
www.paypal.com
Homer