Why do the websites bother to show cookie warnings if europa.eu does not?
It may be a bit of a rhetorical question, but the regulatory body does set an example, so how come the others do not follow?
However, europa.eu and ec.europa.eu overall are among the least GDPR-compliant sites I've come across.
Interestingly though, GDPR doesn't apply to regulatory bodies or authorities in general, for that matter.
All you could - quite reasonably so - indeed ask of them is to lead by example, which they apparently have chosen not to do.