I'm having the same issue. In WIN 11, MS Edge v12 cookies do not show up in CC Pro, even when all sub-instances of Edge are closed in Task Manager. I can't find the cookies storage location. Google panned out and wasn't much help. I did find one Cookies file located in %LocalAppData%\Microsoft\Edge\User Data\Default\Network. It has no file extension and I have no idea what application will open it. I think I could manually add an exclusion if I knew the cookies location. I could do that with earlier versions of CC Pro or Plus.
