Hello,
First of all, this plugin provides just the implementation of hCaptcha for WordPress and integration with many popular plugins and themes. It does not deal with cookies, GDPR, and so on, simply using the hCaptcha script from the hcaptcha.com website.
Based on my experience working with hCaptcha, I do not see any cookies set by its script.
The article mentioned looks weird. The hCaptcha is the biggest captcha provider fully oriented on privacy and security. The real collector of user information is Google reCaptcha, which makes its decisions based on various user-related data.
Anyway. This plugin is supported by another team, not connected to the core hCaptcha team, and it is better to address your questions on the hcaptcha.com website.
Thank you.