I think those are 2 seperate problems.
The first is that your browser doesn't allow cookies, change that setting (https://www.google.com/search?q=this+application+requires+cookies+to+be+enabled)
The second looks like your build is not running properly. Could you share what is going wrong there? Click “Show Latest Build Output” to view details:
Upgrading to 8.11.1 will take care of your cookie problem in Google Chrome. Try that and see if you are still having trouble.
https://docs.mendix.com/releasenotes/studio-pro/8.11