Well, in every version that I've installed up to now (going back three years), ALL saved cookies in the version being replaced were successfully migrated to the new one.
My OS is XP Pro (SP2). Though one contributor mentioned no problems with XP Home (SP2), I have since spoken with another XP Home user who had the same experience (and several running Media Center, as well).
Therefore, it would appear that there is a bug in the current release that needs attention.