If you use Firefox you can turn on the thing that they just enabled in Germany by going to about:config
and setting these options:
cookiebanners.service.mode 2
cookiebanners.service.mode.privateBrowsing 2
They are both set to '0' right now.
They are testing this setting, so if something goes wrong then change it back.
More information here: https://community.mozilla.org/en/campaigns/firefox-cookie-banner-handling/
Caveat: I just learned this on Lemmy in some other thread I can't find again.
You can even tweak how it saves the files, what format it outputs, whether it retains subtitles (if they are included in the video), and you can make it spit out a metadata file to go along with the video file which would be useful to keep track of the content or if you use some kind of video library management software that wants publishing date information, author, etc.