FYI: WPLM plugin does not set a cookie (any more) in current version if it is used with nice permalinks like /en/ etc.
Was wrong about this, for my customers WPML site I had added a 3rd party no-cookie patch found in WPML forum which WPML wanted to add in 2.6.2 but it's still missing in latest 2.6.4.1, so WPML users have to add this patch by hand to avoid the front end cookie.