The cookie notice doesn’t show up.
Complianz and All In One WP Security & Firewall work well together, but you might need to disable XSS advanced rules in some cases.
To quickly check if you need this exclusion, you can disable the XSS rules for this purpose. If the banner shows up after clearing your cache, you need to exclude a small javascript file from Complianz to enable XSS Rules; this can be done with .htaccess. If you don’t know how to write in .htaccess, please keep XSS off, as it is an advanced firewall rule and might cause issues for your entire installation.
As per the warning of the plugin itself:
Due to the code being inserted into the .htaccess file, this feature may break some functionality for specific plugins. You are therefore advised to take a backup of .htaccess before applying this configuration.
The rules can be found under FireWall – Advanced Firewall Rules | Bad Query Strings & Advanced Character String Filter