I don't use Facebook, but I have seen the same issue with Twitter and Gmail.

Are you using the "Strict" level of Tracking Protection?

There was a problem in the drop-down in some version of Firefox. Same-site cookies get listed under cross-site cookies. They are *not* cross-site cookies, so they are allowed. This mistaken listing was fixed in a later version (87 or 88, I can't remember).

I had backed down to using Standard level because of an eBay page display issue from a few months ago. When I saw the notification in the URL bar, I switched to Strict, but it didn't seem to make a difference. The pull-down says that cross site cookies are allowed, and if you click the 'X' to disallow them, the notification may disappear, but return next time.

I kind of think that the notification may be in error. As the OP stated, I've never enabled cross site cookies on those sites, and the settings don't show any exceptions listed.

I hadn't seen this problem until recently. I think I just updated to FF 87.0, system running Linux Mint.

Edit: Updating now to FF 88.0...

Edit 4/25: It's been a few days, and after updating to FF 88, I have not seen the problem again.