Embed need sign in after refresh the window

🐛 bug report

Preflight Checklist

• I have read the Contributing Guidelines for this project.
• I agree to follow the Code of Conduct that this project
  adheres to.
• I have searched the issue tracker for an issue that matches the one I want
  to file, without success.

Description of the problem

I embed a cloud sandbox project. But it needs to sign in every times after refresh the window.

Here's a demo: https://codesandbox-embed.vercel.app/

And I found a problem about the /auth/jwt api. In iframe this api was 401 error, and maybe there is something wrong with the cookie:

How has this issue affected you? What are you trying to accomplish?

That's a great inconvenience. I wanna sign in just one time and it can keep my auth.

To Reproduce

Link to sandbox: link (optional)

Your Environment

Start with the linked CodeSandbox embed demo and inspect the /auth/jwt request in the iframe using Chrome or Edge developer tools. Check the cookie behavior across a window refresh. Done when the embedded project stays signed in after refresh and the authentication request no longer returns 401.