Is there need for your transaction to use cookies ? In that case this KB can help you SolarWinds Knowledge Base :: You want to insert a persistent cookie into a transaction.
WPM is using Seum-Users for playback, so there may be difference in behavior of IE (recorder) between account which you used for recording(possibly admin) and account which is used for actual playback. So you can create another user which will have same rights/permission as SEUM-Users and then manually check if you can reproduce behavior of recording in IE itself. You can also try to make SEUM-User accounts member of admin group, this resolved many issue, when recording is working well in recorder, but not in actual playback.
Let us know results
Petr