Salut Christophe !
Disclaimer : I am not a lawyer, nor particularly trained in that field, so I might be wrong. Maybe others have more or different views, so don't take my words for truth, but as a start of a discussion.
My starting point is that no software is GDPR compliant because ultimately it depends on what YOU do. If you store user data, track them, treat them ... YOU need to be compliant, not the software.
At the lowest level, cookies that serve exclusively to make the site work do not need consent. See "Exemptions" : https://wikis.ec.europa.eu/display/WEBGUIDE/04.+Cookies - (most) people are aware that a minimum cookie is needed to make a site work, and that this cookie is not personal, but technical. Here you can assume implicit consent.
So a naked Grav will not require a cookie consent. Things change when you add tracking, user management and processing, but that's evidently not a Grav functionality, but a business function. And that's were you need to adapt software and adopt processes to make yourself compliant.