Configuration 3: Display Method
Return to /administrator Extensions > Plugins. Search for "privacy" and click "System - EU e-Privacy Directive" to edit the system plugin.
Styling each is a different story though. The JS Confirm, cannot be styled as it is part of the browser. The module and ribbons are styled in the plugin configuration. The System Message type is styled by your template (if your template developer bothered to add the System Message position to the template.) The modal is styled by your template.
The Module and Page Ribbon can both be styled within the System plugin. The modal type requires some Bootstrap expertise.