In normal operating conditions, a cookie is usually set by us whenever a (non-third party) site is visited, which allows us to trigger cleanup for all the other site data types. The only ways the cookie isn't created is if: a) we're denied the required access to that site, or b) the auto clean function is turned off while browsing the sites.

If you think you have found a bug in regards to this, please head on over to our GitHub repository and open an issue/bug report with further details so that we can discuss it further.