Can anyone please let me know what does mandatory cookies have to do with SEO and how do I check whether a site has mandatory cookies or not
I am not very sure of what you mean by mandatory cookies. Do you mean the website has a check where it show a 'default error message' if it detects that the browser doesn't have any cookies? I think that can be bad for SEO because search engines will not be able to crawl the website content at all.
Cookies play zero part in search engine optimization, plus your question isn't really detailed enough to understand what your asking, please rephrase it.
A page that has mandatory cookies would redirect you to some other pages if a specific live cookie is not found.