And it works really well. Until it does not, and then you need to figure why the page isn't working for you but your neighbour has no problems. I still use it all the time though but there is some pages I won't bother with much. Probably better that way anyway :-)
Yes I prefer using the special EU cookie wall plugin. I forget the name right now, sorry.
Ublock just blocks the popup which breaks some sites that don't work until you make a choice, which you can't because it's blocked. The other plugin answers it for you in the background with your chosen options.