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Some browsers, such as Safari for the macOS, try to protect user privacy by preventing websites from tracking users across sites.
Unfortunately, this can prevent the page for configuring settings for Lockdown Browser exams from loading within the Brightspace interface:
To fix this, go into the Settings menu for Safari and select the Privacy tab.
Uncheck the box labelled Prevent cross-site tracking.
Clock the settings dialog box. The Lockdown Browser tab should work now.