First off, I'm on to Mojave 10.14.5 Developer Beta 1 (18F96h) that installs Safari 12.1.1, and I'm still experiencing the same thing with HSTS cookies.
I'm not sure how to determine if Safari is regenerating the HSTS cookies or Cookie is not ever deleting them. Maybe I'm being daft, and if so, I apologize.
Here’s what I’m doing. Before I close Safari, but after I use Cookie 5.9.6 to delete tracking cookies and non-favorites, these HSTS cookies are there under Manage Website Data. I then close the browser and use Cookie to remove the Cache. Remove Now is greyed out for Cache, Tracking Cookies and Non-Favorites. I then reopen Safari, and before I open any tabs, I check under Manage Website Data, and the HSTS Policy cookies are there. So how do I know if Cookie deleted them and Safari regenerated them or if Cookie never deleted them at all? Either way, they are still there and I can’t rely on Cookie to manage them for me.
It's probably no huge deal, but I would feel better knowing that I don't have some bit of info stored on my computer that could be theoretically used in some way by the likes of google, facebook, pinterest, etc. If I have to remember to deal with this manually, it won't be the end of the world. I will remain a proud Cookie user, and continue to use your other great products like SessionRestore and DesktopUtility. I'm a big fan of your work. Cheers!