You shouldn't need to. A user opt'ing into authentication via Facebook has that data marked within their own Facebook account as Facebook is fully GPDR compliant.
Other extensions that manage user data on your site for however you are importing it should also work with JFBConnect without issue. JFBConnect creates 100% standard Joomla users, so any GPDR extension should not need special integration with JFBConnect.
I hope that helps,
Alex