To exclude cookies from being deleted on exit, configure the 'SaveCookiesOnExit' (Save cookies when Microsoft Edge closes) policy.

If you configure the preceding policies and this policy, all browsing data is deleted when Microsoft Edge closes, regardless of how you configured 'AllowDeletingBrowserHistory' or 'ClearCachedImagesAndFilesOnExit'. If you enable this policy, don't configure the 'AllowDeletingBrowserHistory' (Enable deleting browser and download history) or the 'ClearCachedImagesAndFilesOnExit' (Clear cached images and files when Microsoft Edge closes) policy, because they all deal with deleting browsing data.

If you disable or don't configure this policy, users can configure the Clear browsing data option in Settings. Note that if you enable this policy, it takes precedence over how you configured 'DefaultCookiesSetting' (Configure cookies) If you enable this policy, all browsing data is deleted each time Microsoft Edge closes. Browsing data includes information entered in forms, passwords, and even the websites visited. Microsoft Edge doesn't clear the browsing data by default when it closes. Under Cookies and data stored, select Manage and delete cookies and site data > See all cookies and site data and search for the site whose cookies you want to delete. Clear browsing data when Microsoft Edge closes In Edge, select Settings and more > Settings > Cookies and site permissions.

Clear cookies on microsoft edge