Maybe you can keep the general setting of disabling third party cookies but make a site exception for those trusted sites. While you are on a site related to that service, click the shield icon for Tracking Protection at the left end of the address bar (next to the lock). On the drop-down, click the blue slider switch to disable protection. Repeat on the related servers as you encounter them.

More info in the following articles:

• Introducing Total Cookie Protection in Standard Mode
• Total Cookie Protection and website breakage FAQ

Any difference?

Well after I've got an reply from the Swedish tax office( that runs www.skatteverket.se, and www.minmyndighetspost.se)- that the issue is that they had banned any VPN & Antivirus service.

So this mean that the Swedish goverment is going back to old times back into the cold war ( late 80's).

Since this services is permanently bannned( some sort of disturbing technology). However every time I try to reach this services is that the service is looping( and will end up in a blank screen)

With a blank screen, one thing to check is to make sure the redirect block didn't get turned on. Here's how to check that:

(1) In a new tab, type or paste about:config in the address bar and press Enter/Return. Click the button accepting the risk.

More info on about:config: Configuration Editor for Firefox. The moderators would like us to remind you that changes made through this back door aren't fully supported and aren't guaranteed to continue working in the future. Since we are restoring the default value, I feel comfortable mentioning it.

(2) In the search box in the page, type or paste accessibility.blockautorefresh and pause while the list is filtered

(3) If the preference has a value of true, double-click it to restore the default value of false