I got a message from the developer of the EU e-Privacy Directive plugin that a new version will be out in a few weeks that will address this problem and have a solution for displaying the message.
I have taken a look but cannot see what is the cause. Based on Jan's last post I guess the developer has found the cause and is implementing a solution.
Thanks for your patience
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The new version (v 2.0) of this plugin is now available.
The system message still doesn't work but there are a few new options that work. I just tried the modal type and it displays the message. There is also now an option to display the message in a module if nothing else works.