I'm not sure what SF edition you are using, but the "Individual" concept, or object you are talking about it, I was only able to see on an org with the Financial Service Cloud package installed.
Financial Services Cloud has the concept of an Individual, which pretty much mimics the Person Accounts.
That was the approach Salesforce used when they first launched FSC, but they realized that in order to implement all the features already available in Person Accounts, it would probably take years.
There were lots of limitations with FSC like no Account Teams, Duplicate Rules, etc. All of these missing features were already built/tested on an org with Person Accounts enabled. New FSC orgs are coming with the PA enabled by default.
The Contact object in SF has fields that you could use in regards to GDPR like:
HasOptedOutOfEmail, HasOptedOutOfFax, DoNotCall...
I believe your question is a lot more complex that you realize. Please DON'T take all the info here as a decision factor.
For more information about Person Accounts, please go here: https://help.salesforce.com/articleView?id=account_person.htm&type=5
Depending on your org's edition, enabling Person Accounts is just a matter of opening a case with Salesforce BUT keep in mind that once Person Accounts is enabled, your data model would be different and it CAN NOT be deactivated. Which means you won't be able to go back.
There are also lots of implications on enabling Person Accounts, but the link above should be a good starting point.