You do not have to enable caching for cookies in your Ezoic caching settings, this setting is completely optional. The way each publisher has their caching settings set up should be tailored to their individual sites.
Please feel free to check out this Support article - https://support.ezoic.com/kb/article/how-to-improve-my-cache-hit-rate, which explains how to improve your cache hit rate.
If you have any other specific concerns or unanswered questions about Ezoic's caching, please feel free to ask!