The original implementation of the internet protocols and browsers was very promising about functionality but also has been naive regarding information security and privacy.
One aspect in the later is based on the fact that multiple web sites can share content, images, tracking pixels and scripts that - by intention or not - offers insights into the behavior of the user.
In the last years there were some refinements and corrections implemented, one of them are based on the terms
cross-site
and cross-domain
.
In brief: The displayed page and the included assets can control what is allowed regarding integration. The mechanisms in the browser gets hints and will allow / block according them.
Understanding is fundamental to controlling.
I don't like to repeat material available on the web so here are links to articles giving an intro I can recommend to understand the new features, the effects and options:
More developer level information and references: