Just open the "Samsung Cloud" app, tap on three vertical dots > "Settings", and then disable the "Sync and backup while roaming" option, and you are good to go.
From what I see on your ScreenShots, you must have installed the app called "Sound Panel" from the Galaxy Store. Any app which has an access to the panels will pop-up the privacy policy. Try to Uninstall it. Hope it works for you!
First of all, there can be some apps which are not supported by One UI 2 yet. Secondly, can you tell me if you receive any pop-up notification when you open the games you are talking about, so I can clarify.