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Your EU e-privacy-directive extension do not set the session cookie if I don't opt-in. i.e. it is compliant to the EU legislation. There are other extensions that are not.
There is one problem, I think you should mention and explain in the documentations. You get a lot more session data on the server, especially if users choose not to opt-in for the cookies. There will be session data created for each page visited. The site administrator should keep an extra eye on the session data files and the db-session-table (if used).