Hi,
As far as I know, this is by design after Windows 10 1709.
As you said, If we run shell:cookies and activate hidden files in Explorer you see a file called deprecated.cookie with this content:
Cookies are no longer stored in files. Please use InternetCookie APIs to access cookies.
So Microsoft has changed this and no longer stores them in single files.
Below are some information about IE Development Team Support.
https://social.msdn.microsoft.com/Forums/en-US/89aabed0-1c4b-4cbe-90e3-df409a545c0b/cookies?forum=ieextensiondevelopment
Hope this helps and please help to accept as Answer if the response is useful.
Best Regards,
Carl