In order for the required headers to function every single embedding page must have compatible headers. This means that on your site the contains the iframe you will have to provide the following (or compatible) headers:
Cross-Origin-Opener-Policy: same-origin
Cross-Origin-Embedder-Policy: require-corp
Unfortunately this may be impossible or complicated depending on the host. This is why we recommend using a link to open the game in a new tab or window, instead of embedding it into the page.