Are PhD supervisors responsible for informing students about legal issues pertaining to research?
Good research practice (which I would argue is not country specific), requires an independent ethical review of any research that involves human subjects. A university can make blanket determinations that certain types of research do not require individual review (e.g., interviews).

It is generally considered academic/research misconduct to not have proper ethical review and follow the recommended guidelines. Failure to obtain informed consent, when necessary, definitely falls under research misconduct. In the US and UK, it is the responsibility of the supervisor to make sure that the proper procedures are being followed.

In your case, your supervisor should have told you to get informed consent. The problem, however, sounds way bigger then you just not being able to use the data. The problem could be as large as PhD students not being properly trained regarding human subject research and faculty not following good research practice.

You need to work this out with your supervisor quickly. It should eventually escalate to your department chair and the IRB/ethics board. Not getting informed consent, when needed, is a huge deal.