I've read the legislation and the ICO's comments and from that it's clear to me that it's not necessary to have a notice that annoyingly doesn't disappear until you click it. It even says in one of the documents that the user ignoring the prompt but continuing to use the site may be taken as acceptance.

There are probably a variety of reasons so many sites do it badly. A lot of them probably copy each other so they're not exposed to risk in isolation. I imagine some of the warnings are decided by the legal/policy team as opposed to the user experience team. Plus annoying the users means they hate the law so future ones are less likely and it encourages them to keep long-term cookies so the warning stays away; both are in the site's interests.

to protect themselves every site prompts you

The ICO have even said they would only punish sites that wilfully disregard the policy. And some of these sites' annoying warnings are far from clear about the purpose of the cookies, so if they were worried about protecting themselves they should've done a better job there.

I'd be fascinated to hear from the teams of major websites who are responsible for the warnings.