RESOLUTION
To add cookies to the request, the call to
setRequestHeader for the Cookie header must be repeated because the first call is ignored:
'this value is ignored, but the step is necessary
xmlRequest.setRequestHeader "Cookie", "any non-empty string here"
'set all cookies here
xmlRequest.setRequestHeader "Cookie", "cookie1=value1; cookie2=value2"
Note that setting cookies in this manner is atypical. Cookies are best set by the server using the Set-Cookie header.