And does it make you wonder what they are actually installing on your device to track you?
Not much. Cookies aren't magical spying devices that can track your every move by themselves, or find out your true identity.
They can only be read and written by the site that placed them.
They have no capability beyond having some information written in them by a website, and hat information can later be read by the same website. There's nothing to 'install'.
In this case, jworg uses it to store login information for the secure part of the site. They could also use it to store some information about which articles you read and what search entries you made, so this information can be used to adapt what you see on your next visit.
They also (probably) use it to track individual (yet anonymous and unnamed) users/computers to analyze their visitors' behavior on the website (how often do you visit, how long do you stay, etc).
Their policy also mentions 3rd party cookies but these can hardly be used to let jworg know what other sites you've been visiting (it's technically not entirely impossible, but extremely unlikely as it would probably be very costly and I think even illegal)