Would you please take a look at this article :

https://support.mozilla.org/en-US/kb/tracking-protection

(You'll have to scroll down some)

I have read it and maybe I am missing something but I can switch to a more stricter list or every session click disable. I am trying to add my site in the exception list which I click on Exception box but no way to add that I can see.

The Tracking Protection feature does not have a site-by-site exception list. If you need to make exceptions that way, you could consider using a tracking protection add-on instead of the built-in feature. I don't know which is best these days, but you could take a look at the ones that come to my mind:

• Privacy Badger: https://addons.mozilla.org/firefox/addon/privacy-badger17/

• Ghostery: https://addons.mozilla.org/firefox/addon/ghostery/

• Disconnect: https://addons.mozilla.org/firefox/addon/disconnect/

• Blur: https://addons.mozilla.org/firefox/addon/donottrackplus/