Yes, the Chromium browser v80 update introduced a mandate on HTTP cookies without SameSite attribute to be treated as SameSite=Lax. This means that the Application Gateway affinity cookie won't be sent by the browser in a third-party context.
To support this scenario, Application Gateway injects another cookie called ApplicationGatewayAffinityCORS in addition to the existing ApplicationGatewayAffinity cookie. These cookies are similar, but the ApplicationGatewayAffinityCORS cookie has two more attributes added to it: SameSite=None; Secure. These attributes maintain sticky sessions even for cross-origin requests. See the cookie based affinity section for more information.