sorry for the long delay, I should be getting notifications for new threads....
Im not sure what happened with your favourites.
http cookies are a little flakey on Snow Leopard (Apples fault, not mine).
I'm sorry about your cookies, I havnt heard any problems from any other Snow Leopard users though, so I'm not sure if this is a widespread issue.
As for the Privacy pane in Safari, this also lists cache cookies, and databases. Cookie does rmove cache cookies, if you configure it too. but it doesn't itemise them. Databases are listed on Cookie Databases tab.
Also, if you remove cookies from within Cookie, whilst Safari is running. There is no way for Cookie to tell Safari to update its internal references. This means that, even while the cookies have been removed permanently from disk, Safari "thinks" they are still there. this can cause render issues on some sites. (youtube i think)
this behaviour is apparent only for cache cookies/databases, and history. normal http cookies are updated accordingly in Safari.