Hi!
The alert will not be shown to anyone that’s already logged in. You can enable the “Debug Mode” (Settings -> Cookies -> Debug Mode [near bottom of the page, under Advanced Options]), which will display an alert when logged in and without checking where the user is from. This should give you an indication whether it works with your theme, for example.
Furthermore, at the very bottom of the settings page, you have a few links, including “Debug”. Clicking on that link, it will expand an area underneath that will contain details about your detected IP address and country – it could well be, that if you are testing it on an internal network, it used a non-public IP address (ie., 192.168.1.2 or 10.1.2.3) which cannot be converted to a country for obvious reasons. In that case, Cookillian will not show the alert.
Hope this helps!