In the Orion settings, under "Privacy" I have tried setting "Automatically delete cookies" to both "After Orion exits" and "After one day". Neither of these options appear to result in cookies being deleted.
I would expect that if "Automatically delete cookies" is set to After Orion exits", then after closing and reopening Orion there would be no cookies listed under "Manage Website Data". Similarly with the "After one day" option I would expect there to be no cookies from previous days.
0.99.133-beta
Sequoia (15)