If you mean show the cookie notice as per the photograph - install the latest version of XenForo. Then in the ACP, search for "Show cookie notice to guests" and check the option.
I can't find the option you're referring to @Martok, I can only find this one below, nothing comes up for that search in acp?
Show cookie notice on first visit
When a user first views a page (with no XenForo cookies), if enabled, the user will see a notice stating that cookies are used by this site and continued use consents to the cookies. This option is designed to make compliance with EU cookie regulations easier.
But the above option shows a notice that looks different to the one in the pic in the first post (the one I'd also like on my forums).
The one that shows on mine looks like some text then learn more is hyperlinked like this
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