This button doesn't often work as you'd expect. Websites/Apps can (and do) still approve so called "legitimate interest" option. The only way to be sure is to click "manage preferences" and dig in to check if legitimate interest is enabled. Sometimes you'll see "object all" in there, but some websites require to manually disable legitimate interest for each of the hundreds of partners manually.
Recently a pirate website for music, free-mp3-download.net got updated with this crap included. You have to toggle it off every time. All vendors separately. I took a stopwatch, it takes me around 2 minutes and 50 seconds.