<<Disclaimer: Verify this information before applying it to your situation.>>

Thank you all for your responses.

Nobody was able to verify with certainty that Heinz or McCormick cocktail
sauces were gf.

Somebody "thought"  Kroger brand might be ok,  but had been a couple of
years since checked.

Cross and Blackwell was stated as gf.

S&W Seafood Cocktail Sauce is gf.

Enrico's sauce is gf.

Someone said they used McCormicks with no problems and they were
sensitive to gluten.

Several people gave ideas for recipes using various ingredients:
  ketchup
  horseradish
  lemon
  tabasco sauce
these were common ingredients used.