It appears you cannot block all cookies: as soon as you visit the login page, you get a cookie. If you want to block all cookies, you should add an additional page, perhaps with a consent checkbox and a continue button which redirects you to the Mendix application if you have given consent.
I believe you cannot use a Mendix application if you do not allow cookies: your session information is stored in the cookie, without the cookie, you will not have a session and you cannot access pages.
Note though that you do not need to block all cookies: the Mendix cookie which stores (just) the session information will probably fall outside (European) cookie regulations. Furthermore, at least according to the Dutch authority, you are not allowed to have a cookie wall: you cannot block users from your app/website if they do not consent to necessary cookies. These are discussions to have with your legal department, as this will vary between jurisdictions.
Correct what Rom says. I dont know if xas will work without cookies