This is happening with other browsers, not just Brave. I get the same error with Firefox and Chrome:
Browser Blocked
We apologize, but your web browser is configured in such a way that it is preventing this site from implementing required components that protect your privacy and allow you to view and change your privacy settings. This functionality is required for privacy legislation in your region.
We recommend you use a different browser or disable the “EasyList Cookie” filter from your “Content Filtering” settings (found under “Settings” -> “Shields” in the Brave Browser).
Interestingly enough, I can open the CNN website Opera and Edge just fine. My location is in Germany.