I'm not a lawyer, but I think this actually has some interesting things to think about. Not all cookies require consent under the ePrivacy directive, there is an exception for cookies that are "strictly necessary for the delivery of a service requested by the user". I think that'd fit in this case, since providing a cheater free experience is part of the "service" the players are looking for. At the same time, the ePrivacy directive also mentions that the user should be provided with "clear and comprehensive information" about what is stored. Providing that would render the cookies useless.
I don't know how these would balance each other out legally, but it's fun to think about