Sophos configuration update failed

When attempting to map organizations on the Sophos integration, I get an error:

Configuration update for Sophos failed

This is caused by settings in your browser that may be blocking the necessary cookies. When you take a look at the Developer's Tools in the browser, you see an error:

 Request to access cookie or storage on was blocked because it came from a tracker and content blocking is enabled.

To solve it, add the URL of app.rocketcyber.com to your browser exceptions and now you are no longer getting the message.