If you for any reason have renamed your Google Tag Manager (GTM) data layer you need to add another data attribute to the banner embed code.
More information about renaming the data layer can be found here.
Add the following data attribute to your embed script:
data-datalayer="YOUR NAME HERE"
Your embed script will end up looking like this:
<script src="https://consent-dev.cookiefirst.com/banner.js" data-cookiefirst-key="API KEY" data-datalayer="DATA LAYER NAME"></script>