Well I assume there are some custom collectors implemented;
Which get triggered on your new site as well..
Or you have some consents:
In any case if they are used on your origin site they are part of the copy. There isn't really a on-off switch in the settings for GDPR.
Is it in the same instance? Or a fresh installation? If you need to remove objects on your copied site you might reach out to Kentico to get a temporarily EMS license to remove it.