The option of always accepting cookies or rejecting them for all URL's is not currently in lynx. It has been an occasional request and may go into a future version. When you accept a cookie, you allow information about you or your system to be transmitted to the web site.
Some people prefer privacy and reject cookies.
Some sites, however, don't function unless you allow cookies. The example above is an example of an invalid cookie, which may create more of a security risk, since the cookie may go to a site other than the one you are accessing. Cookie handling has been improved in recent versions of lynx. The 2.6 version is fairly ancient. Version 2.8 is the latest official release.