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The servlet spec does not allow resources which were included (as opposed to being the first resource that processes the request, or a resource that was forwarded to) to set cookies. If such a resource attempts to set a cookie on the response, it is swallowed silently. The GUI should warn the user in case an included resource tries to set a cookie - this is helpful when the user is trying to figure out why their cookie was not set.
The MonitorResponseWrapper already has a boolean variable which keeps track of this. The CookiesData object has to be modified also to store the value, and then some text could be added to the cookies pane.
This old bug may not be relevant anymore. If you can still reproduce it in 8.2 development builds please reopen this issue. Thanks for your cooperation, NetBeans IDE 8.2 Release Boss