I have read this page: https://github.com/brave/brave-browser/issues/5318 Both the issue and the milestone are closed; I assume that the feature has been implemented.
However, it doesn’t work on my machine (Brave 1.16.72, Windows 10).
So I opened brave://adblock I checked “Easylist-Cookie List - Filter Obtrusive Cookie Notices”, which seems to be a different list, and the vast majority of cookie notices (in my country) still was not blocked.
Then I copied the whole list from https://www.i-dont-care-about-cookies.eu/abp/ and pasted it into the text area at the bottom of brave://adblock
Now, almost every notice gets blocked (except for Google, for instance, but I don’t care).
That being said, did I really have to do this to make it work? Shoudn’t the list be embedded in Brave?