Not sure on the cookie issue, but it could be true.
One thing that is true, at least with some airlines...If the flight you want has a rate that looks higher than other flights that day, try looking as just 1 passenger. If you see a lower rate, it may mean that there are some seats at the lower rate, but not enough for your whole party. Some airlines, instead of automatically booking some of you at the lower rate and some at the higher, will just book you at the higher rate. You may have to split your itinerary, but you may save some $.