I know it's a bit late to put my contribution on this subject but I lost so many hours that maybe this answer will help somebody.
I was trying to call a third party cookie on my site and of course it was not working on Internet Explorer 10, even at a low security level... don't ask me why. In the iframe I was calling a read_cookie.php (echo $_COOKIE) with ajax.
And I don't know why I was incapable of setting the P3P policy to solve the problem...
During my search I saw something about getting the cookie in JSON working. I don't even try because I thought that if the cookie won't pass through an iframe, it will not pass any more through an array...
Guess what, it does! So if you json_encode your cookie then decode after your ajax request, you'll get it!
Maybe there is something I missed and if I did, all my apologies, but i never saw something so stupid. Block third party cookies for security, why not, but let it pass if encoded? Where is the security now?
I hope this post will help somebody and again, if I missed something and I'm dumb, please educate me!