Yes, keep using SAS as none of them are perfect & have different strengths & weaknesses. Holes in the cheese.....
Tracking cookies aren't a direct security threat (unlike a virus or Trojan) as they're just plain text so can't do anything to your computer. They can pose a privacy risk as they allow tracking of your browsing habits across multiple web sites. Whether they're treated as a threat or not is more a question of security philosophy. A straight anti-virus program will probably ignore them while an anti-malware program will probably handle them. On the scale of things they're very low risk.