There's nothing wrong with it, it's just not needed if FF blocks all 3rd party cookies outright. Privacy Badger was supposed to autodetect which 3rd party cookies were used to track you, there's no point if they're all blocked.

If you have sites that need 3rd party cookies to work please note you can add exceptions in FF settings. I've seen instructions telling people to disable tracking protection altogether in that case but that's a terrible idea.

Google rewrites links in Google search (not that you use it but maybe you do sometimes). So, if you want the links you click in Google search to not go through a Google referral URL and instead go to the link advertised in the search result, then Privacy Badger is useful for this purpose.

uBlock can disable cookie popups, go to settings, filters and then scroll down to annoyances. Enable AdGuard Cookiebanners and Easylist Cookiebanners