It looked like that might be the case based on the "learn how" (*sigh*) link FireFox provides in the tracking section, but doesn't seem to be available with the privacy settings I have, essentially block all trackers and block cookies from unvisited sites.

I don't think the third party cookies are actually the issue, they might be, but either way it doesn't seem like I can say it's ok for MS only to ignore these privacy settings but not other sites in this particular case.
