"Access Denied" and "Cannot support third party cookies" when watching embedded videos

Are you running any anti - virus programs? Using a VPN?

Try setting up another admin user account in System Preferences/Users & Groups to see if the same problem continues. Please post back on whether or not this worked. Also try the Safe Mode. Please post back on whether or not this worked.

Isolating an issue by using another user account 

Safe Mode - About

If it works in the Safe Mode, try running this program when booted normally and then copy and paste the output in a reply. The program was created by Etresoft, a frequent contributor.  Please use copy and paste as screen shots can be hard to read. Click “Share Report” button in the toolbar, select “Copy to Clipboard” and then paste into a reply. This will show what is running on your computer. No personal information is shown. If the log won’t post, try posting it in Pastebin and provide a link in a reply. After pasting the report in a PasteBin page, go to the top of the page, and copy the address in the URL bar. Paste that in a new reply.        Pastebin

Etrecheck – System Information

I think I have found a solution to this issue. The reason why videos are not loading (I had the same issues) is because of the Adobe Flash Player in not enabled.

Open Safari > and then click Safari (top left corner) > Click Preferences

Locate and click websites

Under General panel, you will see Plug-ins > make sure Adobe Flash Player is Enabled.

In the Configured Websites window/panel turn on all that you need to turn on.

Exit out of preferences and close out of Safari, return to your website and enjoy. Please see screen caps below.

Thank you.

Hello, having the same issue with blackboard. Ever since I updated to Catalina issue persists. Tried the same as you but no success. Solutions would be appreciated. Also all flash options are turned on.