It is possible to get the Set-Cookie-Header with requests.
import requests
r = requests.get("http://localhost:5000")
# a flask application there sets two cookies 'first' and 'second'
r.cookies.keys()
# returns ['first', 'second']
r.headers['Set-Cookie']
# returns 'first=4; Path=/, second=42; Path=/'
Please show some code of what you did to see why it didn't work for you.