Hi Javier,
Actually, there's no way to set 3rd party cookies at all from Tealium. This is not a restriction of Tealium, but a security restriction in the browser.
If Tealium (or any other Javascript) is loaded on www.domain1.com, it can only set cookies on that domain. If you wanted to set cookies on a 3rd party domain, you would have to request a resource (an image, for example), and configure the server to send back a "Set-Cookie" directive in the response header. This cookie would not be available to Tealium because the browser only gives Javascript access to cookies located on the primary domain (www.domain1.com). This prevents 3rd party scripts from "stealing" cookies from other sites. For example, I can't read a cookie located on "www.yourbank.com" and steal your login details, because the browser wouldn't allow it.
Another way of thinking about it is that 3rd party cookies don't really exist. 3rd party cookies are simply first party cookies that belong to another domain than the one you are visiting. For example, any cookies set on www.domain2.com are 3rd party cookies to www.domain1.com, but they are first party cookies to www.domain2.com. If www.domain1.com requests a resource from www.domain2.com, the browser would send all www.domain2.com's cookies with the request, but a script on www.domain1.com would not have access to the contents of those cookies - they are effectively "private" as they belong to www.domain2.com.
In summary, there is no way of setting 3rd party cookies at all in Tealium, and there never will be, but this is exactly the same as any other Javascript-based solution.
I hope my explanation helps and isn't too confusing.
Craig.
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