While it is unfortunate that this is not a current feature included in Mattermost, I do suggest opening a new Feature Request so that it may be added to future releases.
In the meantime, if you happen to be using Cloudflare as your DNS provider/for web security, as I do, you might find this free Cloudflare app useful - this allows you to add a customized cookie usage notification to your webpage, or specific pages on a website, in a fully customizable manner, which it seems (to me at least) may be able to help you become GDPR compliant while an official feature implementation is developed and discussed.
You can additionally preview this app here before installing it on your webpage with Cloudflare, to make sure it will perform the way you desire it, and see how it would function.
Does this help?