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Most of these privacy notices have links or buttons in them to either accept or not accept cookies. Once you have this configured, the dialog should pretty much go away. The EU does require that it be fairly easy to change your choices in the future, and I am not sure about how most web site developers are handling that. Be glad they are not marking the dialog up as being "modal" meaning that you can't exit the dialog until you make a choice.
I apologise for not specifying the exact page. It is https://www.sainsburys.co.uk/
I notice it when I activate Groceries, which seems to change the page but the address remains as https://www.sainsburys.co.uk/
I think it is exactly what Chris says, the EU's GDPR banner seizing focus. If I search for an item and then add it to my basket, then go back to the main Groceries page, the focus jumps to the GDPR banner about cookies, which appears right at the bottom of the page.
As I say, it's not a major hastle to jump back to the top of the page or to press shift+e to jump to the previous search field, it's just an annoyance to be taken down to that cookie banner every time I have to go back to that page. Anybody who also pays attention to the TAVIP blind computer discussion group will also recall that Sainsbury's have been messing around with their website, but they have been listening to difficulties that TAVIP members have expressed, which is good to hear.