The screenshot below shows the error message that we were getting.
After further investigation and with the help of our PFE, we found out that the issue was related to a change that Apple incorporated on devices with iOS 14 installed. This change was not allowing cross-website tracking which was enabled in previous versions of iOS.
To enable this, and allow embedded Canvas Apps to run on iOS 14 devices, we needed to change the setting below.
Once this change is done, navigate back to the Embedded Canvas App in your Dynamics 365 App or Power App and you should be able to see that you Canvas app is loading.
A special thanks to Aaron Richards, our Microsoft PFE for helping troubleshoot this issue.