I have seen the same problem where background images are not lazy loaded on initial load. Notice the absence of src tag attribute on the image. This is particularly noticeable where there is more than one background image on a page. After accepting all cookies and reloading the page they seem to load ok.
Nice to hear that others are having the same or similar problem.
https://support.cookiebot.com/hc/en-us/articles/360003793854-Google-Tag-Manager-deployment