For one, Do Not Track is on the client side and you just hope and pray that the server honors it, whereas cookie consent modals are something built by and placed in the website.
I think you can reasonably assume that if a website went through the trouble of making such a modal (for legal compliance reasons), the functionality works (also for legal compliance reasons). And, you as the client can verify whether it works, and can choose not to store them regardless.
I would assume most websites would still set cookies even if you reject the consent, because the consent is only about not technically necessary cookies. Just because the website sets cookies doesn't tell you whether it respects you selection. Only if it doesn't set any cookies can you be sure, and I would assume that's a small minority of websites.
I think you can reasonably assume that if a website went through the trouble of making such a modal (for legal compliance reasons), the functionality works (also for legal compliance reasons). And, you as the client can verify whether it works, and can choose not to store them regardless.