Just installed (enabled under Settings->Safari->Ad blockers) and it doesn't work at all on some sites I tried.
From what I know, it never will as long as Apple only allows shitty request inspection with allow/deny result. It just cannot work nowhere near as well as uBlock Origin.
I'm not privy of the technical details.I don't think it acts on cookies themselves, it merely removes the nagging banners, and in that case the EU-compliant site is supposed not to set any cookie or other tracker since none were explicitly accepted.
Basically at a high level it's like what DNT should have been i.e "as a default don't track me since I'm not giving consent"