Cookies can be/are used for extensive tracking (even when you're not techically on the site). The EU requires websites that use cookies to display conformation message on how cookies will be used to track the user.
The infamous "cookie" law isn't limited to Cookies. JWT, local storage and co all fall under the same law that will force you to put a disclaimer on your webpages. There is absolutely no difference between the 2 in that regard. The fact that you think otherwise is a serious legal risk for your business if you have one.
the EU requires websites that use _any_ kind of local storage to display a conformation message on how the storage will be used to track the user. It is not specific to cookies.