The obvious problem is that this command lacks --keep-session-cookies, and the cookie it gets is session-based.
I tried to reproduce the bug in the more generic way.
But there are other problems as well: if you examine the cookie.txt produced by (the amended version of) the first command, you'll notice that the cookie's path is "wget/setcookie.php". For one, the "setcookie.php" part should have been stripped (Mozilla does this, I've just checked). Second, the path should always begin with a slash. Either of these problems would guarantee that no other URL would ever match this cookie.
I've now fixed both bugs in the CVS, along with a third, unrelated bug. Please let me know if the latest CVS works for you. (It works for me on the example you set up.)
Thanks a lot for your corrections. It's now working like a charm. It's also working with session cookies.
Regards,
Pierre
