Cookie does in fact remove everything, but Safari stores references to all the cache cookies/databases in RAM, so it thinks they are actually still there...
You can test this easily, by restating Safari and rechecking the Privacy tab.
there is no way (I know) of forcing Safari to update itself to accurately reflect what cookies are still on disk.
I'll give that a try. In general, though, Cookie doesn't seem to update reliably for me. Here's an example:
This is what the Cookie cookies window looked like:
I let it sit there on the screen for over ten minutes; it didn't change.
I quit out of Cookie and relaunched it. Suddenly it looks like this:
I think maybe I'll just trash the prefs altogether and start from scratch.
This looks like you might have this Apple cookies issue: