I work on a checkout product that is implemented as a third-party iframe. We set a cookie so that a user can have their information remembered for the next time, so that if you've shopped at merchant A, you won't have to fill out your information again when you want to shop at merchant B or C. We don't use it to track you or profile you, it's literally just to make it easier for you to check out (which makes our merchants happy because they see less drop-off). We have a very simple and obvious way of opting out of this, directly in the checkout itself, if you for whatever reason don't want to be remembered.
Unfortunately, because most people don't visit us in a first-party context, we are classified as a tracker, so we can't read our cookie anymore. The result being that our customers have a worse experience. If they want to get prefilled, they'll now have to go through this weird redirect song and dance so that we can interact with them in a first-party context.
So yeah, while I'm generally for enhanced privacy, I think this specific implementation is harmful. I think that all it achieves is that it consolidates the ability to track users to a small number of giants that you routinely interact with in a first-party context on a daily basis (Facebook, Google, etc).