The web was designed to be highly interconnected. Deep linking is a feature. Cookies are set via headers. If you load an image from another domain, the headers from that domain could set their own cookies, and your browser will give each domain every cookie it has set.
That is, cookies aren't shared, they're locked down to the domain that set them. It's just that some domains have content loaded by millions of pages. This change won't protect you much if you have a relatively stable IP address without many users on it, because your IP is still in the third party domains logs. This welcome change makes it harder to differentiate people on the same IP, or to track a browser as it changes IPs.
As I'm typing this, I'm remembering how helpful IPv6 is for people who want to track everyone.