Hey there, honeycrisp11,
Thanks so much for using Apple Support Communities. Being able to protect your privacy is super important, we want to help make sure it's working as expected. To start, can you check if your Mac is running the latest version of macOS available? You can do that by following the steps here: Update macOS on Mac - Apple Support. Updating a Mac can often resolve these types of issues which is why we recommend starting there.
If the issue continues to occur, can you double check if it happens outside of a private browsing window in Safari? This would help isolate the issue which can help in resolving the issue. And it sounds like you already are, but we want to be sure to cover all our bases and recommend making sure that you are following all of the steps in this article when enabling the cross-site tracking prevention feature in Safari: Prevent cross-site tracking in Safari on Mac - Apple Support
We hope that this information is helpful.
Have a great day!