Duo Access Gateway- Generic SAML Application - IE11 - Missing Cookie , page not coming up

Duo access gateway saml service provider AD login prompt does not come up in IE11 with Missing Cookie message, it looks as shown below.( Works fine with Chrome and Firefox)
The Cookie settings are set to accept as shown below


No sites have been added to compatibility view
The Operating System is WIndows Server 2016

Finally found the issue, it lies with internet explorer.

IE does not accept cookies from domains or subdomains with underscore in the name.