Settings on a per domain / URL basis

The webapp was probably getting blocked by Brave’s Shields. Which, as it turns out, is more or less what you’re looking for with respect to “site-specific” protection settings.
You can read about Shields and how they work on a post I made while ago:

I’m guessing that you’re blocking 3rd party cookies (via Shields) which is why the Spotify window gets closed out. May also be a device recognition issue. First thing I would try is to turn Shields down and see if this allows you to authenticate into/use the Spotify app. From there, we can further narrow down the a cause of the conflict.