Here's why it might happen:
(1) The app is not enabled
Using Themes 2.0?
Open your Themes tab > click customize > app embeds > enable the cookie app
Don't forget to save your theme changes!
(2) You clicked the app
Once clicked, the banner will be closed and not shown again.
To test the app - use incognito mode in your browser:
(3) Conflicting CSS
There's another element that applies CSS rules with the same class names.
Possible solution: contact your theme developer and ask to replace the duplicate names.
(4) Speed load optimization apps
Apps like "Loadify" manipulate and change JS scripts running on your store.
They might make the app not load at all.
Possible solution: contact their team and ask for them to whitelist the app OR whitelist it yourself in the app dashboard if possible.