Self Add into group on Contact Dashboard

When trying to add yourself to a group from the Contact Dashboard page an error is created and user is not added to group.

We can't load the requested web page. This page requires cookies to be enabled in your browser settings. Please check this setting and enable cookies (if they are not enabled). Then try again. If this error persists, contact the site adminstrator for assistance.

Site Administrators: This error may indicate that users are accessing this page using a domain or URL other than the configured Base URL. EXAMPLE: Base URL is http://example.org, but some users are accessing the page via http://www.example.org or a domain alias like http://myotherexample.org.

Error type: Could not find a valid session key.

You can reproduce this on the sandbox site by simply logging in and going to Contact Dashboard and trying to add yourself to the Newsletter Subscribers group.