Settings to show EU cookie consent warning?

I also would like to know :S

I recommend https://silktide.com/tools/cookie-consent/download/. You simply add the script just before the </head> tag. If your theme support custom header code that will do it or, manually add the code to your header child / theme.

Don’t know if W3 will cache external files too, but you can add the css and js to your host via FTP and then add those files to exception.

Wrote this because I don’t like using a plugin for every single small task.

You can also add the files from that plugin to exception.
Under Minify setting page you will find:
– Never minify the following JS files:
– Never minify the following CSS files:

And add the path for those files on the fields. For example:
https://www.EXAMPLE.COM/wp-content/plugins/YOUR_PLUGIN_DIRECTORY_NAME/css/FILE_NAME.CSS

https://www.EXAMPLE.COM/wp-content/plugins/YOUR_PLUGIN_DIRECTORY_NAME/js/FILE_NAME.js

Hope it helps.
Cheers

Wow, been a while since I posted this and never received an answer, so thanks icepin for the tips and akhasis for the bump!

Back then I was more worried about getting penalized by Google than having my caching work properly. So I ended up just disabling W3TC to get the plugin I’m using to work properly, and never reactivated it. I will give icepin’s solution a try.
Cheers,
Lori