The EU knew about DNT signals before GDPR was finalized and decided to ignore them. I know, I was a web dev at that time (and still am, yes I'm ancient in internet years). This is on the EU and techbros, but having internet explorer and other browsers like firefox (not sure if chrome did it?) enabling DNT by default would make tech bros upset, and the EU couldn't have that, so they made the tech bros a little happier by allowing the consent banners instead.

From the working party back then, which was promptly rejected in the final GDPR we have today:

2016

The Working Party recommends rephrasing the requirements in the current Recital 66 of Directive 2009/136/EC. Instead of relying on website operators to obtain consent on behalf of third parties (such as advertising and social networks), manufacturers of browsers and other software or operating systems should be encouraged to develop, implement and ensure effective user empowerment, by offering control tools within the browser (or other software or operating system) such as Do Not Track (DNT), or other technical means that allow users to easily express and withdraw their specific consent, in accordance with Article 7 of the GDPR. Such tools can be offered to the user at the initial set-up with privacy-friendly default settings. Adherence to accepted technical and policy compliance standards must become a common practice. In addition, website operators should respect and adhere to browser control tools or other user preference settings.

2017

The Working Party recommends that terminal equipment and software must by default offer privacy protective settings, and offer clear options to users to confirm or change these default settings during installation. The settings must be easily accessible during use. Users must be enabled to signal specific consent through their browser settings. Privacy preferences should not be limited to interference by third parties or be limited to cookies. The Working Party strongly recommends to make adherence to the Do Not Track standard mandatory.

Heck, the W3C was even talking about working to make it happen.

Point is, the EU sucked up to corporations, surprise surprise.

Receipts:

https://ec.europa.eu/justice/article-29/documentation/opinion-recommendation/index_en.htm

https://ec.europa.eu/justice/article-29/documentation/opinion-recommendation/files/2016/wp240_en.pdf

https://ec.europa.eu/newsroom/article29/redirection/document/44103