Additional Information:
There is another problem which is when I open a window (in-app browsing), it uses brave but I cannot open brave shield Pop up to change cookies as mentioned before.
Site settings is set to block only third-party cookies and Brave shield is also block Cross site cookies, but when I visit any website for the first time I found it as Block All cookies (when I click on shield icon in url bar as mentioned in the screenshot above)
Can you update your browser. Yours is at 1.44.101 while the latest stable build is 1.45.116.
Even after updating to 1.45, the problem still persists then it is a bug (make sure the settings are correct from the 2 points I listed). Then brave team members will look into it.
If you are comfortable enough, you can just unistall and re-install brave.