The cookie consent feature requires the Cookie Consent package to be deployed with your website.
Open the Website settings dialog in the Website ribbon tab, go to the Packages section and enable Cookie Consent.
You must redeploy your website for the modification to apply.
If it doesn't solve the problem, try to disable the Use async loading option in the Packages section. It will remove the defer attribute on all script resources. It may have a minor impact on loading time.
You must redeploy your website for the modification to apply.
Note that once your visitors have saved their choice, the Cookie Consent won't appear anymore.
If you test your website locally, the cookie is stored on your browser for the localhost url. You may have to delete the cookies for this domain, have a look at https://developer.chrome.com/docs/devtools/storage/cookies/ to clear cookies using dev tools in Chrome.