The default settings on Safari make it block third party cookies. To access Bally Sports, you will need to ensure that those cookies are enabled. To allow third party cookies follow the instructions below found on support.apple.com.
Choose Safari > Preferences, click ‘Privacy’, then select ‘Change’ which cookies and website data are accepted. Select ‘always allow’: Safari lets all websites, third parties, and advertisers store cookies and other data on your Mac.