Hi ahubbard,
Thank you very much for your reply. That option you are pointing out is for the tracking that Yext does of the conversions, so, it is an internal Yext tracking (and it is true, it is disabled).
Since we will be tracking the conversions with external tools (like GTM), we will maintain this option disabled for now.
Getting back to my initial question, we managed to figure it out with Cookiebot team, since they finally crawled not the root domain (empty page), but directly one of the content pages and this way, they managed to scan all the cookies.
Kind regards.