I'm not sure which they are but - most likely cached cookies. Since a quit and restart Safari "apparently" eliminates all those cookies that are not set as favourites in Cookie, it sounds as though that is what is happening. Cookie does delete them but it's not reflected in Safari until it's done a restart. If that is the case then I think Cookie is probably working as intended.
In the past Cookie would show in red those cookies marked as tracking ones. Now it simply lists that there are X number tracking cookies. It would be good if the old behaviour could return.
Cache removal is a must to remove ever-cookies.
It is also is all or nothing in Cookie - there is no distinguishing between favorite and non-favourite sites during cache removal. This is usually not an issue as any data which needs to be retained for login details tends to be stored in http-cookies or Local Storage/Databases.
There is no harm in removing cache cookies, although i wouldn't recommend it whilst the browser is still running as it can cause issues on some sites.
and, I think you should be ok enabling cache removal immediately, as no reputable sites store anything of much use in the cache...