We don't recommend to insert our script into Google Tag Manager.
No, we don't recommend to insert our initial script into Google Tag Manager because it will slower the tags from loading and will disable Header bidding from working.
It is important to integrate the CMP (Consent Management Platform) code as high as possible in the header of the page followed immediately by our script (implemented outside of Google Tag Manager).
The adslots (div) should also be implemented directly on the code source in order to ensure that all the advertising parameters (positions, lazy loading, ...) set up work properly.
As a kindly reminder, here is the global onboarding process to follow: