VPN SSL - access to Office365

Hello,

from some reason we cannot directly log in to Office365 portal from one location. I was thinking about usage of the VPN SSL with tunelling disabled in the webmode. Opening the website https://www.office.com via webVPN works fine, but when I click on login I get "We can't sign you in.Your browser is currently set to block cookies. You need to allow cookies to use this service. ...." (of course the browser is set to accept all cookies).

Does anyone have an idea if it is possible to fix this somehow? (other websites works fine - for instance atlassian products).

Thanks