Error messages similar to
SAMLRequest or SAMLResponse must be present as query string parameters in HTTP request for SAML Redirect binding when clicking video embedded links
When the links are embedded into another web page, the source of the login request to the SSO system is changed, and the SSO does understand the login request.
If getting the message found in the cookie.htm page first try setting P3P in the config.txt.
If that page still comes up (particularly on mobile devices) try adding a link like this in the cookie.htm.
<a href="^L?url=^{HTMLEncode(login:url)}" target="_site">CLICK HERE</a>
This will open the proxied link on a new page and should get the user signed into EZproxy to allow access.
If hosted by OCLC, reach out to OCLC Support to get the cookie.htm file to edit it.