I noticed a strange caution message when looking at downloaded resources using Google chrome inspector (F12):
Caution provisional headers a
In my case the cause was AdBlock extension.
The request to server went through and I got the response but I could not see the request cookies due to "Provisional headers.." being shown in Dev tools. After disabling AdBlock for the site, the warning went away and dev tools started to show the cookies again.
For the change to take effect, it was also necessary to close the Dev tools and refresh the page