A few days ago, a new cookie was established named "WMF-Last-Access".

Thanks for reporting this. Any references for that statement? For example, https://wikitech.wikimedia.org/wiki/Analytics/Data_Lake/Traffic/Unique_Devices/Last_access_solution#Using_the_value_of_the_WMF-Last-Access_cookie lists WMF-Last-Access since 2016...

Wondering if this is T261803: Requests for /static get an invalid WMF-Last-Access cookie for wikipedia.org on non-Wikipedia requests?

At the console I found the following message:

Cookie “WMF-Last-Access=15-Sep-2020;Path=/;HttpOnly;secure;Expires=Sat, 17 Oct 2020 00:00:00 GMT
WMF-Last-Access-Global=15-Sep-2020;Path=/;Domain=.wikidata.org;HttpOnly;secure;Expires=Sat, 17 Oct 2020 00:00:00 GMT
GeoIP= ... ; Path=/; secure; Domain=.wikidata.org” has been rejected as third-party.

It seems that this message occurred maybe since yesterday or today.

I observed this on German Wikivoyage.

Different notice

Cookie “WMF-Last-Access=15-Sep-2020;Path=/;HttpOnly;secure;Expires=Sat, 17 Oct 2020 00:00:00 GMT
GeoIP= ... ; Path=/; secure; Domain=.wikimedia.org” has been rejected as third-party.

also on German Wikivoyage

Thanks. Could you please answer my question in the last comment why you think that this cookie is new? (And which other cookies are rejected, apart from WMF-Last-Access?)

Within the last days I made some programming (for instance on https://de.wikivoyage.org/wiki/MediaWiki:ListingEditor.js) and I am testing my changes including the check of console output. I saw the messages mentioned today for the first time. Normally only messages like "Use of "mw.RegExp.escape" is deprecated. Use mw.util.escapeRegExp() instead.", "JQMIGRATE: jQuery.fn.delegate() is deprecated", or "This page is using the deprecated ResourceLoader module "jquery.ui" occur. But today a lot of cookie messages occur including unnamed cookies like "Cookie “” has been rejected as third-party."

It seems that the/some cookie requests were initiated by Ajax API calls like wbgetentities.