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.
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