It’s a fairy tale that P3P headers work anywhere except for Internet Explorer. Beginning with Safari 5.1.4, you are not able to set a cookie within an iFrame except the user actively interacts and additionally a new site/tab has to be opened. The domains must match.
I have blogged about this issue a while ago and I plan to write a precise description of my workaround. It’s definitely annoying that Apple changed this, and they did this only as an answer to Google tricking the default privacy settings of Safari. Is a new IE6 developing?