I have the same or similar problem with konqueror on ubuntu dapper (kde 3.5.2). I want to run konqueror "standalone", so I simply start kdeinit (no args), then konqueror. I've configured konqueror so the default cookie policy is "reject" (same with java*), and then I enter in a handful of sites I wish to allow cookies in the cookie manager. However no cookies are saved between sessions. It's as if I had configured konqueror to treat all cookies as session cookies. But I have not done that to my knowledge.
I've searched around and the FAQ and the above message indicate that what I want to do should be possible, but I haven't figured out why my cookies are not getting stored between sessions.
Any enlightenment would be greatly welcome. Thanks.