cf_clearance Set-Cookie failed causing page failed to load

I tried to open day.js.org using a VPN (just an example, it's not the only site with problems) and got the challenge, which was fine. However, after finishing the challenge, the Set-Cookie for cf_clearance fails. (This attempt to set a cookie via a Set-Cookie header was blocked because its Domain attribute was invalid with regards to the current host url.) So cf will keep challenging when the browser loads a static resource (js, css, svg, etc.). But since this is a static resource, the challenge will never succeed.