From my personal experience, this does not work in Windows 11. If you close Edge and you do not receive a notification from CCleaner, cookies and anything else selected will not have been cleaned. Open task manager. If Edge is closed it shouldn't be at the top of the list, but scroll down alphabetically to Microsoft Edge. Highlight it, right click and then left click End Task. That should close all Edge processes (there could be 20 or more) and CCleaner should clean.
I do not know if this applies to Windows 10.