Not a fan of the notice too. For anyone looking for a solution, you can disable the health check by adding
add_filter('site_status_tests', function ($tests) {
unset($tests['direct']['cookie_compliance_status']);
return $tests;
});
directly into your functions.php. (You can get a list of all the health checks using WP_Site_Health::get_tests() if you want to remove other ones too.)
You can also try this plugin: https://www.ads-software.com/plugins/site-health-tool-manager/ it seems to be working fine but it wasn’t updated in a while so your mileage may vary.
