All Devices Safari not setting cookies - iOS & MacOS

[Jumpie]

I found a post in here somewhere but it didn't quite answer my question. Some sites keep displaying a cookie notice to Accept or Decline a cookie. Or, a popup says Donate Now or something like that. And when you click Close, it's like it's not setting the cookie and the popup keeps coming back. I read somewhere about a privacy setting but I can't find it. Any suggestions to get Safari on iOS or MacOS to set?