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Overview
When the SAML authentication occurs, a session cookie is stored on the browser.
Solution
Visit the URL, https://gateway.id.swg.umbrella.com/auth/cookie.do to see if cookies have been enabled on your browser. The session cookie associated with this domain will appear. If not, the browser settings do not allow cookies. Please enable cookies on your browser. For instructions, check the support website for your browser.
How to Enable Cookie on Chrome
Blocking/unblocking Cookies on Firefox
Enable Cookies in Edge