Computer Configuration > Administrative Templates > Microsoft Edge - Default Settings (users can override)
Both
HKLM\Software\Policies\Microsoft\Edge\Recommended
This policy controls whether third-party cookies are blocked in regular browsing sessions. If you enable this policy, web page elements that are not from the domain shown in the address bar can't set cookies. If you disable this policy, third-party cookies are allowed, including from domains other than the one shown in the address bar. If you don't configure this policy, third-party cookies are allowed by default, but users can change this setting. Note: This policy doesn't apply in InPrivate mode. In InPrivate, third-party cookies are blocked by default and can only be allowed at the site level using the CookiesAllowedForUrls policy.