This website sets no cookies. It also uses none of the other ways a page can keep something on your device: no local storage, no session storage, no indexed database, no cache manifests, no fingerprinting. That is why you see no cookie banner.
Why there is no consent banner
Cookie-consent rules (the European Union's ePrivacy rules, the United Kingdom's Privacy and Electronic Communications Regulations, and similar laws elsewhere) require consent before a site stores information on your device or reads information from it, other than what is strictly necessary to deliver the page you asked for. This site stores nothing and reads nothing, so there is nothing to consent to. A banner here would be theatre.
If that ever changes, because a feature needs to remember something between visits, this page will say what is stored, why, and for how long, and any storage that is not strictly necessary will ask first.
What the host may do
The site is served as static files by a hosting provider (GitHub Pages during the beta). At the time of writing, GitHub Pages does not set cookies on the pages it serves for a project site. If the host changes, this page will be checked against the new host's behaviour before the site moves.
How this stays true
The site's build is tested. Every generated page and its scripts are checked for cookie access, browser storage, and requests to another origin. The interactive example graph, example answers, and savings calculator run in memory in your browser. They do not store their inputs. Code-copy buttons write to your clipboard only when you use them. The workspace question action navigates to the configured app; it does not store the question on this site.
Questions
Ask through the contact routes on the terms page.
The OpenContext app is separate
The app you run on your own machine is a different program from this site. It keeps its settings in files inside your vault, on your computer, and the privacy page describes them. The app's web interface, served from your own machine at localhost, stores small interface preferences (such as which pane is open) in your browser's local storage for that origin only; nothing in that storage leaves your machine.