Prerequisites for Confluence (Latest Server/DC)
Please make sure that you are logged into SharePoint Online with the same Browser, otherwise you will see the following error:
Check 3rd Party Cookie configuration
Please make sure to be able to see Confluence content in SharePoint Online and SharePoint content in Confluence, else you might get the errors above despite being logged into both applications with the same browser.
You can find an instruction over here: How to enable 3rd Party Cookies
In case you don't want to allow third party cookies in general it would also be an option to just whitelist the following domains:
yourwiki.company.com
Also check any privacy apps installed in your browser if you get the above error messages.
Check Trusted Sites configuration
Please check your security zone settings to contain some important domains in the same security zone. See this page for details on which domains to include.
If you aren't allowed to change these settings please inform the people in charge of this configuration to make the necessary changes.