Before AVG V8 the free product was ONLY an anti-virus product. It was ONLY looking for viruses and not spyware, malware and so on (which are different things and NOT viruses).
AVG V8 now checks for viruses AND spyware.
So many things it did not even lok for in the past it is now looking for.
Generally tracking cookies are NOT dangerous and having them on your PC will do it no harm, however some people do not like having their interent activity tracked so they remove them.
This is why AVG only lists them as warnings.