I have been trying to present Splunk dashboards through frames to my website, and it's not working as you can see in the picture below, I have seen other people with the same question but no solution was suggested that worked for me, if I tried to present the reports, they work fine, but the dashboards don't seem to work.
Essentially the cookies are "3rd party cookies" as they are not from your site. I believe there is actually a setting in your browser you can change to allow these.
This worked for me a while ago. I am not sure if it works currently as I do not have Splunk in an iframe anymore. When I told my manager this, they immediately dropped the ask and stopped the idea of the iframe.