The four signals are independent. analytics_storage governs analytics cookies, ad_storage governs advertising cookies, ad_user_data governs whether user data may be sent to Google for advertising purposes, and ad_personalization governs whether it may be used for personalised ads.
When a signal is denied, Google tags still fire but send cookieless pings containing no identifiers. Google then uses conversion modelling to estimate the unmeasured conversions. This is why a correct Consent Mode v2 setup reports more conversions than simply blocking tags outright.
Timing is the failure point. The default consent state must be set before any Google tag loads, and the update must fire when the user chooses. Set the default too late and the tag has already run in granted mode; forget the update and every consenting user is treated as a refusal.
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