No message text is translatable because settings form accepts input in several formats.

I had to do the following:

/**
 * Implements hook_form_alter().
 */
function mymodule_eu_cookie_compliance_form_alter(array &$form, FormStateInterface $form_state, $form_id) {
  if ($form_id == 'eu_cookie_compliance_config_form') {
    $config = \Drupal::config('eu_cookie_compliance.settings');
    $plain_message = $config->get('popup_info');
    $form['popup_message']['popup_info']['#type'] = 'textarea';
    $form['popup_message']['popup_info']['#default_value'] = $plain_message ?? 'Enter a message here';
    $form['popup_message']['popup_info']['#description'] = t("In order to make this field value translatable, HTML is not allowed. If you want to link a piece of text to the privacy policy link value located in this form, enter the anchor tag as @tag and it will be replaced on render.", ['@tag' => "<a href='@policylink'>(name of link)</a>"]);
  }
}

My custom theme .theme:

/**
 * Implements hook_preprocess_eu_cookie_compliance_popup_info().
 */
function mytheme_preprocess_eu_cookie_compliance_popup_info(&$variables) {
  $config = \Drupal::config('eu_cookie_compliance.settings');
  $variables['plain_message'] = $config->get('popup_info');
  $variables['popup_link'] = $config->get('popup_link') ?? '/';
}

Twig template (excerpt):

{% set banner_title = "Please review and accept our privacy policy" %}
{% set banner_message = plain_message|striptags('<a>') %}

<div role="alertdialog" aria-labelledby="popup-text" {{ attributes.addClass(classes) }}>
  <div class="popup-content info eu-cookie-compliance-content" >
    <div id="popup-text" class="eu-cookie-compliance-message" >
      <div class="privacybanner">
        <div class="coh-style-tertiary-section-title-alt privacybanner-row-1">
          <span class="">{{ banner_title|t }}</span>
        </div>
        <div class="privacybanner-row-2 coh-style-type-system-body"><p><span>{{ banner_message|t({'@policylink': popup_link}) }}</span></p></div>
      </div>

What is 'in plain text'? I can't even select plain text format on the settings form. Any attempt at translating this is an exception:

InvalidArgumentException: $string ("<p>By clicking accept, you agree to the storing of cookies on your device to enhance site navigation, analyze site usage, and assist in our marketing efforts. For more information on the information we collect, see our <a href="@policylink">privacy policy here</a>.</p>") must be a string.

If I grant plain text as usable with CKEditor, then you get an editor chrome and its just weird. Even if I do, I can't select plain text. So how do you select plain text?

That page just gives a 404. How do you get that route? I don't see any mention of 'translate' or 'translation' in the codebase. This is Drupal 9.