If you're in Europe, you have a responsibility as a site owner to carefully control the cookies your site issues, or causes to be issued, to your visitors. These regulations are becoming increasingly more strict, which makes some web technologies a problem, as they spray the user with tracking objects.
Further to that, users are becoming more aware of the importance of protecting their privacy online, and every prompt for personal information becomes a barrier to entry. Cookie pop-ups themselves are becoming irritating, as is the vague feeling that your activities online are being tracked for marketing purposes.
It should be possible to build websites that don't track users. You'll notice this site didn't have to display a prompt, because it doesn't use any technologies that leave a trace on your machine unless you choose to log-in, and even then the cookie is optional. Sadly, this cleanliness is made impossible by the majority of technologies developers may want to employ.
Anubis does no end-user tracking whatsoever. None. It doesn't issue cookies, doesn't store or manipulate your users' IP addresses, and only writes a localStorage object if they use the MFA app (unavoidable, really). All of its other metrics are entirely transitory.
Because of this total lack of user-tracking, Anubis CAPTCHA isn't something you present to your users the moment they arrive at your site - you use it at the point at which the user has an interaction with you that could be abused. This site's manage interface, for example, uses a CAPTCHA for account creation, retrieval and sign-in (activities that could generate false accounts or, worse still, cause the site to send emails to random people).
Similarly, the MFA system is privacy-aware - as a site-owner, you don't even see the user's Anubis identity, rather a unique token of their relationship with you. If compromised, there's no way for an outsider to reverse-engineer the identity of an MFA key-holder. This anonymity enables Anubis to be a little looser with activites such as checking challenge statuses via a website - the important aspects are authenticated with a secret key.