The European Union has a cookie law which requires sites that use and store information (cookies) let those visiting the site about cookies being used.
Showit doesn't actually use any cookies or other types of tracking (unless you've added some). So, if you only use Showit, you won't need to include a cookie warning on your site.
Wordpress does have those cookies built in, so you'd just need it for the Wordpress blog pages. Here's a popular multilingual plugin for this: https://wordpress.org/plugins/eu-cookie-law/#description
Instead of adding an embed code, add the relevant EU law information to that pop-up on your Showit site. Here's more details on what to include in your pop-up: https://www.cookielaw.org/faq/