Just ran into the same (frustrating) issue.
In your Chrome browser type:
chrome://flags
On the resulting page, search for ‘samesite’.
Change the setting for “SameSite by default cookies” from ‘Default’ to ‘Disabled’.
I noticed there was a fix for this (or a very similar) issue in Mendix 8.11.1:
Besides any cookies coming from the Runtime, the client manages two particular cookies: originURI and a test cookie that is used to reliably determine whether cookies are enabled in the browser. In line with the stricter default value for the SameSite cookie attribute (as enforced by the latest versions of Google Chrome and upcoming versions of Mozilla Firefox), we now set the SameSite attribute to None and the Secure attribute to true, in case the app is being served over https. For apps served over http, there are no changes.
If this is an issue for you, I would suggest submitting a ticket to Mendix to fix this: in a corporate environment, you can’t expect users to manually change their Chrome settings.
I have fixt it by updating to Mendix 8.12.1.
They have done a fix for this issue.
https://docs.mendix.com/releasenotes/studio-pro/8.12#8121