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Just FYI - it's mandatory to have a button like that next to the 'Accept all'.
Every site that doesn't do it should be reported.
To where?
Straight to internet headquarters of course.
The serious answer is to whatever your country's internet regulation agency is (assuming your in the EU, else you're out of luck). So for example, in France that would be the CNIL, in Germany it's the BfDI, etc.
Just FYI Germany likes to make things more difficult, so with federation every sub-area is separated in many aspects and has own agencies for different things..
BfDI is only responsible for health and internet-provider institutions (and a few more).
Otherwise you can send it to the one where the company is located at, or always where you are located at. (they will forward it, but that can take a few months, so better to submit where it has to go).
The police
If that's so it's incredibly poorly enforced to the point where complaining is unlikely to have any effect at all. Most Sites have a button that leads To a secondary menu where cookie preferences can be set. Perhaps this meets the mandate you speak of? It's a much more common setup.