No 3rd party cookies is required. Usually, if you find the "Automate" menu is not available it is because Office Scripts feature has been switched off for your user or tenant. A lot of Office Admins are frightened of Office Scripts thinking it will bring security problems like VBA used to do. Because Office Scripts is completely different, based on the cloud and secured within the tenant and the usual security and authentication processes that exist within it, it is completely and utterly safe.
More Admins, also, have a default mindset of restricting everything in their Office 365 tenant thinking that is the safer thing to do. They are, of course, totally wrong and to be honest that kind of behaviour is hampering the productivity of not only the users but of their employer as a whole.