Don't know what descriptive title to put, but please help me that would be very appreciated!

Is it possible to be tracked online on the Surface Web? Can Dark Web ID site track online? Because when I first entered the site, it had this Cookie permission program thing and it said "If you click accept, it will allow us to remember you and how you interact with this site" and "If you click decline, your information will not be tracked". What does it mean by "Allow us to remember you and how you interact with this site" and "Your information will not be tracked"? Does it mean that it is actually possible for them to track online, hack, kill and etc? And is it true that only Dark Web and Deep web can track online, hack kill and etc? And no other site, sites can? Please help me by answering this question, because that would help me so much and I felt nervous and anxious by thinking and worrying about it!