Hi. Thank you for your question and reaching out.
I tried to conduct some research on this problem and discovered that recent reports of similar problems from other customers.
You can check the following thread:
https://techcommunity.microsoft.com/t5/discussions/cookie-bug-in-edge-as-of-oct-9-2020/m-p/1768141
https://techcommunity.microsoft.com/t5/discussions/bug-edge-stable-86-0-622-38-is-ignoring-cookies-and-site/m-p/1762596
We can tell that Microsoft engineers are aware of this issue by examining MissyQ's comment.
As a temporary workaround, make sure the Hosted app data option is not selected under edge:/settings/clearBrowsingDataOnClose.
Additionally, you can try and contact Microsoft with your input on this issue by pressing the ALT + SHIFT + I key when using the MS Edge browser.
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