Haven't we gone through this before? Do you see the cookie below? As long as it's there, my "stay logged in" at the forums works. As soon as I start the help, it, and everything else shown below (and more) disappear. And the "stay logged in" NO LONGER WORKS. It is, indeed, deleting my cookies. Using the help makes IE unusable!
It most certainly does include cookies. The highlighted cookie in the screen shot below (from an x64 Win7 with IE11machine) is what was created when I pulled up this page, logged in and checked the box to stay logged in. Delete that (or any other cookie tied to a site I've chosen to keep myself logged into, for that matter) and I'm no longer logged in when I go back to the associated site. It's quite easy to notice having to log back into sites all the time.
This Temporary Internet Files "view" is actually an aggregation of different folders due to the processing of the desktop.ini file in it (much like browsing to the Fonts folder, which actually shows the installed fonts regardless of where they physically are, rather than just what's in that folder).
At least on my machine, the actual cache files are in..
%USERPROFILE%\AppData\Local\Microsoft\Windows\Temporary Internet Files\Content.IE5
..and my cookies are in..
Here's another look at it. Before starting TCC's help, I have two cookies from today ... one from Google and one from JPSoft. View attachment 1376
After starting the help, those two are gone. View attachment 1377