Its a security issue more than ease of use for web developers. You basically cannot set a cookie for another domain that the cookie is not originating from.
Like if you were on "www.blah.com" and a cookie was set from that server to only be returned to "www.ickypoo.com", MOST browsers will not accept the cookie as its for another domain than what was originating from.
You CAN set that... but the 'take' factor is a crapshoot, and you never know if it will work for everyones browser, since its sort of 'taboo'.
Also, another bit of information... the SERVER doesnt root around in a web browsers cookies. The WEB BROWSER sends the cookie along with the request to the server. The web browser has to know to send the cookie, by the definition data in the cookie. If the web browser originally accepted the cookie to be sent to domains "www.ickypoo.com", then it will send that cookie when it goes to anything under "www.ickypoo.com". It wont send that cookie to "www.yahoo.com" or "www.blah.com" since thats not where its directed to send.
Of course, thats IF the browser accepted the cookie to begin with.
Banner ads, doubleclick, etc etc set cookie through the use of images. You can set a cookie on an image request, and if you request an image from "www.ickypoo.com" and a cookie is sent along with the image, then the web browser will blindly accept it (ifthe user is accepting cookies at all), because the cookie CAME from that domain to be returned to that domain.
SO, if you are intent on cookies, you could make hidden image calls to all your domains to set a cookie for that domain. I actually did this with a system I created a while back called "Evihcra" (now known as Fileball.net)... because all websites under evihcra had their own domain... but were ALL using the same tool set and needed the user logged into one on all sites. I ended up ditching that with fileball and just making each site a sub dir under the fileball.net name (much easier, and less flaky with people who turn off cookies altogether).
ANYHOW... thats all food for thought...