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Quick Scan Result
For some reason NS decides that I am at risk and need to do a quick scan (this is not the problem).
I do the quick scan which completes by flagging tracking cookies. These are apparently set by default to automatically delete. It says that it has deleted the cookies but that does not satisfy NS and it still says that I am at risk and need to do a quick scan.
It run this three time with the same result.
I then change the setting to ask for permission to delete the cookies. I run the quick scan, the cookies are detected and I give permission for them to be deleted. This satisfies NS and I no longer get the "at risk" warning.