https://european-union.europa.eu/
https://www.securite-sociale.fr/
4 out of 4 in my case. May I ask which ones you checked, I'm genuinely curious, cause I really don't remember seeing any official website in the EU without cookie banner in many years.
The other two are trickier to judge, but contain (user?) identifiers, which could certainly be used for tracking, so I'll have to concede your point.
Edit: I had to recheck some of the sites I'd previously checked, as your examples helped me realize that my browser does a lot of blocking. It turns out that just one of my examples was actually a good one: https://finlex.fi/en/
Edit2: Found others: https://www.suomi.fi/frontpage and https://vnk.fi/en/frontpage
Both actually do set cookies, but apparently nothing requiring consent.
I think the default is that most people, professionals included, don't understand the law and throw in the banner-spam to be on the safe side or because of outdated checklists.
I have zero problem with (edit: first-party) cookies, only with the web being a horrible UX for 95% of people, so hope more official websites can lead the way, so that pop-ups can slowly be de-normalized in peoples minds.
Edit:
Nice find. Also:
https://oikeusministerio.fi/en/frontpage
Can they inform Denmark?