see RFC6265:
The user agent will reject cookies unless the Domain attribute specifies a scope for the cookie that would include the origin server. For example, the user agent will accept a cookie with a Domain attribute of "example.com" or of "foo.example.com" from foo.example.com, but the user agent will not accept a cookie with a Domain attribute of "bar.example.com" or of "baz.foo.example.com".
NOTE: For security reasons, many user agents are configured to reject Domain attributes that correspond to "public suffixes". For example, some user agents will reject Domain attributes of "com" or "co.uk". (See Section 5.3 for more information.)
But the above mentioned workaround with image/iframe works, though it's not recommended due to its insecurity.