Why would the label say to connect the lights to a GFCI outlet of it only has 2 prongs? BTW, the duct tape is to replace the broken seal. I don’t know why an outdoor light strand would be made this way.
The basics of a GFCI is that it monitors the current going out on the hot leg and the current returning on the neutral leg. And imbalance, such as current going through an object directly to ground, is seen as a fault and trips the circuit. The ground leg is not required for it to work correctly. I believe it common practice to replace the old two prong receptacles with GFCI receptacles in houses that were originally wired with no ground, such as knob and tube. The label you see on the plug is also referencing the new code requirement that all outdoor receptacles be equipped with a cover that allows the receptacle to be used with devices plugged in, while still maintaining a weatherproof cover. The old “flat” covers are no longer allowed.