Apple removed this explicit option in newer updates to prioritize user privacy. Today, unchecking "Prevent Cross-Site Tracking" is the closest equivalent to enabling third-party cookies. However, be aware that Safari’s Intelligent Tracking Prevention (ITP) may still delete these cookies after a short period (usually 7 days of no user interaction) for your protection.
Enabling third-party cookies in Safari is a straightforward process: enable third party cookies in safari
In older versions of Safari (prior to macOS Catalina), there was a specific dropdown menu that allowed users to select for third-party cookies. Apple removed this explicit option in newer updates