I know that this has been brought up as a question before but the answer is not really satisfying. Since third-party cookies are on their way out from what I can see: Safari blocks by default, Chrome will be doing the same next year (possibly) and Firefox has started blocking some.
As we have writers, testers and developers in different browsers we would expect this to work everywhere by default. I don't know the internal flow of previews so I can't comment on how easy it would be to move away from the third-party cookies but it would be a welcome change.
If you have any workarounds in the mean time (other than allowing third-party cookies) it would be much appreciated.