Are you sure that you use our plugin? In the plugin code, there is no such text as api2.hcaptcha.com. I do not see any cookie created by hcaptcha.com on my test site.
And what is more important, the hCaptcha WP plugin team has no access to the hCaptcha script code. We deal with the plugin code by itself, which is 100% open-sourced.
Please ask your question on the hcaptcha.com website; I am sure the hCaptcha primary development team will help you. hCaptcha was and stays 100% GDPR-compliant.