Fewer visits in Google Analytics and fewer conversions in your ad accounts after switching it on — visitors who reject aren't counted. That's expected.
No link to change the choice later. Visitors must clear their browser data.
Tracking Scripts ignore the banner. Your own scripts always load.
Personalization is saved but not used.
Private browsing — the choice may last only until the window is closed.
One browser at a time — a visitor using a phone and a laptop chooses on each.
Missing Privacy Policy page — the banner link leads to a "page not found" unless you create /pages/privacy-policy.