Does this fix the issue?

Yes. Thanks!

I see. Look like this happens if no cookie path is defined, so it basically set the EU cookie in /users/enablecookies rather then in the root directory.

Please download the attached file, unzip it and then upload it to your /modules/users directory. Does this fix the issue?
   cookie.zip

Yes, the whole system (mod_rewrite, etc) is working correctly except for this one option.

The same problem exists on my local (fresh) installation of Contentteller 2.1.16 (WampServer 2.0).

"Path Info" + mod_rewrite on = "EU cookie law compliant" doesn't work
"Query String" + mod_rewrite off = "EU cookie law compliant" works fine

Have you also installed the .htaccess for mod_rewrite? You need to rename htaccess.txt to .htaccess.

I turned off ForceType but the problem is still.
I have Apache server so in "URL method" I checked "Path Info" and I enable "Use mod_rewrite for SEO URLs".

I checked that the "EU cookie law compliant" works for me only when I turn on the "Query String" and turn off "Use mod_rewrite for SEO URLs".

Any reason why you enabled the ForceType option? This option is only a legacy option for upgrades from older Contentteller 2.0 installations. The current .htaccess does no longer have the required ForceType code in it.

Do you have still the problem with ForceType disabled?

I checked this once again on fresh installation and I think that it doesn't work when I enabled options ForceType enabled, Use mod_rewrite for SEO URLs, Separate module/command with slashes and Use hyphen instead of underscore as word separators for SEO URLs. When I disabled those options then it works fine...