You need to do is to examine following details of the cookies that are not being sent such as cookie's domain,path, port and 'secure' flag.
Cookies are like temporary storage of data on client side. browser put cookies in his temp directory and send these with each request .
But headers are hints to browser and server . to prepare himself . like content type header it tells that the request is sending data of that particular type like application/json will send json data now server will decide whether it can handle this(type) or not if it can not it will raise an exception.
Refer this for understanding cookies : https://studio.tellme.com/vxml2/ovw/cookies.html