Cookie blocked/not saved in IFRAME in Internet Explorer

<META>
  <POLICY-REFERENCES>
    <POLICY-REF about="/w3c/example-com.p3p#policy1">
      <INCLUDE>/</INCLUDE>
      <COOKIE-INCLUDE/>
    </POLICY-REF>
  </POLICY-REFERENCES>
</META>

HTTP/1.1 200 OK
P3P: policyref="/w3c/p3p.xml", CP="IDC DSP COR IVAi IVDi OUR TST"
// ... other headers and content

header('P3P: CP="NOI ADM DEV COM NAV OUR STP"');

/// <summary>
/// Privacy Preferences Project (P3P) serve a compact policy (a "p3p" HTTP header) for all requests
/// P3P provides a standard way for Web sites to communicate about their practices around the collection,
/// use, and distribution of personal information. It's a machine-readable privacy policy that can be
/// automatically fetched and viewed by users, and it can be tailored to fit your company's specific policies.
/// </summary>
/// <remarks>
/// More info http://www.oreillynet.com/lpt/a/1554
/// </remarks>
public class P3PAttribute : ActionFilterAttribute
{
    /// <summary>
    /// On Action Executing add a compact policy "p3p" HTTP header
    /// </summary>
    /// <param name="filterContext"></param>
    public override void OnActionExecuting(ActionExecutingContext filterContext)
    {
        HttpContext.Current.Response.AddHeader("p3p","CP="IDC DSP COR ADM DEVi TAIi PSA PSD IVAi IVDi CONi HIS OUR IND CNT"");

        base.OnActionExecuting(filterContext);
    }
}

[P3P]
public class HomeController : Controller
{
    public ActionResult Index()
    {
        ViewData["Message"] = "Welcome!";

        return View();
    }

    public ActionResult About()
    {
        return View();
    }
}