I am having some trouble saving certain cookies. The site uses it's own folder in the cookies area to save session cookies. When trying to find the cookies I see in the 'Cookies to Keep' area of CCleaner, those cookies don't show up. Nor does any cookie that is located in its own folder. So when I do a system clean these cookies get deleted.
Also, you can right click on the empty space on the right side (cookies to keep), click "Add", and manually enter the domain name. See if that works for you.