Hello, @andrew.e.norton! Welcome to the Auth0 Community.
This is because you are using third-party cookies. Auth0 is setting cookies in your auth0.com domain that can be used in yourapplicati.on, which Safari considers third-party cookies, and blocks.
The solution to this is to implement a Custom Domain, which is available for our paid offerings. A Custom Domain will allow you to change your auth0.com domain for anything you’d like, so you can use, for example, login.yourapplicati.on, and then host your application in www.yourapplicati.on. Note how both of them are based on yourapplicati.on? That means that the cookie will now be first-party, and no longer a third-party cookie.