A live connection directly connects to the SAP BW system from SAP Analytics Cloud. Queried data from SAP BW always remains behind the corporate firewall and does not enter into the cloud.
The configuration steps depend on the Netweaver Basis release and can be found in the Official Documentation.
SameSite Cookie Configuration for BW Live Data Connection and can be found in the Official Documentation.
The Troubleshooting steps for BW Live Connectivity can be found in this Wiki page.
This page is intended to describe CORS concept in general.
Cross-Origin Resource Sharing (CORS) is a mechanism that uses additional HTTP headers to tell browsers to give a web application running at one origin, access to selected resources from a different origin. A web application executes a cross-origin HTTP request when it requests a resource that has a different origin (domain, protocol, or port) from its own.
CORS (Cross-Origin Resource Sharing)
The specification mandates that browsers "preflight" the request, soliciting supported methods from the server with the HTTP OPTIONS request method, and then, upon "approval" from the server, sending the actual request. Servers can also inform clients whether "credentials" (such as Cookies and HTTP Authentication) should be sent with requests.