There's no way for the module out-of-the-box to block cookies created by 3rd party components. That's a simple fact of life. For example, if you by some means inject the code to embed a YouTube video on your site, it'll serve YouTube cookies to visitors to that page and EU Cookie Compliance won't be able to block them. When a YouTube video is served there is a direct communication between YouTube and the browser which other components cannot interfere with.
(In the case of YouTube you can use their cookie-free domain but let's ignore that for the sake of this illustration.)
An example of how to do this for Google Analytics can be found at https://www.drupal.org/node/1648286#comment-6145800
For YouTube, the EU has their own component that does a similar job, that can be seen at https://ec.europa.eu/trustfund-syria-region/content/home_en
You'll need to perform a full audit of all cookies if you want to properly comply with the regulations. That's a larger topic than I can cover here but there are plenty of online guides and tools to get you started.