The 2nd document does not state why 3rd party cookies are required, I am actually looking for that . I changed my Thrid Party cookies setting to prompt and tried almost all action in Planning, HFM, FR and there were no prompts to enable cookies which I guess indicates that none of the regular actions done in workspace use these cookies.
Cookies are normally required for maintaining the session after login. If the cookies is already stored in the machine,then even if you change the setting to prompt it may not show the issue. After setting the cookies to prompt,did you clear the cookies/tmp through browser and try again?