Weekly Administrator defined scans, and scans ran from the Endpoint Protection Manager (SEPM) do not find tracking cookies. Client side scans, both full and active, along with log in scans (if enabled) do find tracking cookies.
No error messages.
This is expected behavior and is working as designed. Administrator defined scans and full scans ran from the SEPM are initiated using the SYSTEM account. Cookie detections rely on the user's account token and are only detected in this space. Within the product there are user based scans that provide protection for this type of condition.