DataMiner will indeed automatically handle the cookies for you. Meaning that if a server returns a response with the Set-Cookie header (e.g. Set-Cookie: auth_id=123), on subsequent requests DataMiner will automatically populate the Cookie header with the value that was previously returned. (i.e. Cookie: auth_id=123)

So you could argue that if the device is not accepting any requests with the Cookie header, maybe it should not send the Set-Cookie response header to begin with.

Perhaps there is a configuration setting somewhere that you can override to make it not send out that header?