You probably should, according to https://gdpr.eu/cookies/ (not official eu resource) under cookie compliance section: “Make it as easy for users to withdraw their consent as it was for them to give their consent in the first place.”

I found two website with instructions to file a complaint: https://www.enzuzo.com/blog/how-to-file-a-gdpr-complaint and https://noyb.eu/en/exercise-your-rights-article-77-complain-your-dpa . both advising you to contact you DPA.