For this web part to work correctly it requires at least 2 cookie levels and it is supposed to work like this:
- Set default cookie level lower than All (system or visitor for example)
- Then configure web part accordingly: for exact level behavior uncheck "if level matches, display"
The logic should be as following:
- User opens the website with system cookies by default
- User sees this banner
- User clicks "allow all cookies"
- This choice is remembered in CMSCookieLevel cookie
- The web part should disappear
Otherwise, with your logic explained, it is the correct behavior, because the web part is set to always display. And effectively your "allow all cookies" button does nothing, because all cookies are already enabled by default.