I think that the site that you are embedding (https://lichess.org/) should add that setting to the cookie (assuming they want to allow others sites use their cookies). That said, I don’t know if the iframe is not shown due to that (normally cookies are for sessions or ads, so even if the iframe has no session I think it would still load).
Update
It seems they allow.
Furthermore you can see the preview, and if I add the iframe here at discourse meta (directly in the html, through the browser inspector), it works, like in the image below:
You could try to add it directly in your page, using the browser inspector. If it doesn’t work then it might be some CSP rule or discourse blocking iframes (if it’s CSP you should see an error or warning in the browser console).
Here on meta if I try to include the iframe I also get a blank post (although I can’t even see a preview):
<iframe src="https://lichess.org/tv/frame?theme=wood&bg=light" style="width: 400px; height: 444px;" allowtransparency="true" frameborder="0"></iframe>
Update 2
The allowed_iframes Site Setting might be what you are after (to allow iframes from that domain):