1: The GDPR buttons says: "Tap "Allow" on the next screen to give permission"
but when pressed it does not go to the next screen. The examples I have seen in other apps have a screen with a bunch of options. Even when I disable the IDFA the GDPR does not go to next screen. Is this a screen I need to make?
This is totally incorrect. You describe the IDFA explainer.
This is not related to the GDPR. It is shown before the ATT outside EEA.
2. Once the GDPR button is pressed the IDFA popups up. Blocking the GDPR. When an IDFA button is pressed the GDPR and IDFA disappear.
You describe the IDFA explainer which is shown before the ATT request.
This is not related to GDPR.
3. Does anyone know if under the GDPR I need to provide the user with an option to later change their GDPR? For instance, do I need to put a button in settings that will bring up the GDPR screen?
Two important notes.
It seems you have not set up the GDPR message at all? You must create this message yourself, in funding choices.
IDFA for iOS is not related to the european GDPR regulations. This is two different things and also handled differently in your events.
First you need to create all your messages in UMP