The settings are that Cookies shall delete all non favourotes when the browser is closed, when Cookies is closed and when the Mac starts.
Wenn I close Opera nothing happens: all the cookies are where they were. When I close Cookies and reopen the program I see: nothing has happened, all the cookies are where they were. When I reboot the Mac I see: Cookies has deleted some cookies, but a lot of them are where they were before.
Or shorter: Cookies 5 does nearly nothing. Is this a bug or a feature?