After the latest Update which is documented in T254302: Update CookieWarning so it doesn't use the SkinTemplateOutputPageBeforeExec hook the Cookie Warning extension does work with the Vector skin again, but not with the MinervaNeue Skin.
I use MediaWiki 1.35 with the latest git clone of Branch REL1_35.
Setup is here
I hope it is not only a configuration issue, but with MediaWiki 1.34 everything worked fine. And even with 1.35 and the not fixed Vector Version of Cookie Warning, the minerva worked, too.
best regards
Andreas