This site does not set any cookies (one exception below). The effect is that it will forget your login when you reload the page, so the user experience may suffer a bit.
The playground which is available for registered users is based on openvscode-server. The playground sets a cookie called vscode-tkn with value "NO_TOKEN". This is because of technical necessity. Since the value is NO_TOKEN for everyone it can not be used for user tracking purposes. Additionally openvscode-server uses IndexedDB for remembering all kinds of settings.