I am not familiar with the cookies requested to guest AAD users, I assume they belong to some microsoft domains that are not connected to the dynamics instance (like login.microsoftonline.com in order to get the auth token if required).
I believe that with some registry policy you can actually allow or block specific domains but I am not aware of a page where such domains are listed (I remember there was a page for ADFS and IFD settings but that is not your case).
If Google Chrome will stop 3rd party cookies by a certain date, because Google Chrome is one of the supported browsers by Dynamics, Microsoft will fix this before that date, I think that opening a support ticket will get you nowhere regarding this, the only thing you can do in my opinion is to describe your problem in this website
experience.dynamics.com/.../ to help to improve the product.