I'm having this issue with the Nintex List Forms Online web part on a Modern SharePoint page in a separate site.
I have a list and related form in a Team Site and trying to embed the form on a separate Communication Site.
I'm able to get the form to embed correctly with the web part within the same Team Site as the list/form. And I'm able to use the basic SharePoint embed tool to display the form on a Communication Site with no problem (other than the horrible sizing experience).
However if I use the Nintex web part on the Communication Site I can see the form load behind a black scrim and the loading message just keeps spinning. The form never fully loads.
I've tested in Chrome, Brave, Edge, Firefox and IE with the same results.
I also included all the domains listed from Shannis in my HTML embed settings.
This wasn't a problem with on-premise but I'm guessing there's something different happening between the different site collections now.