I have found this issue, related to what I am reporting, but it’s been closed:
(the related post on the community is closed as well)
Ok, disabling ads and trackers shields for xxx.wordpress.com blogs allows navigating wordpress blogs as a wordpress user. What I don’t like is that this also enables all other trackers, not just the needed ones from the wp.com domain. Is there some setting that can be used to further filter the domains allowed on a site?