Here's the official doc on it -
What is GDPR. Yeah, it is the typical mumbo-jumbo, but it gels down to some simple ideas. If the concern is great, I would suggest getting with an attorney that works with the EU to be safe.
Discontinuing the affiliate cookie tracking - I, as a visitor from the EU, did not give you permission to track me unless you have one of those cookie warning notices up. Now the paysite may have them, but your site did not. The idea behind the GDPR is to protect the privacy of your visitors.
How worried? Google along with the browsers have been dealing with this for quite a while, so it should not be a shock to them. I don't see any real concerns. I think stats are down due more to the US elections and other world events more than anything else. LOTS of uncertainty out there right now, and paying for porn is probably not among them.