feat: add missing cookie headers to SDK methods

[aeneasr]

Related issue(s)

Checklist

• I have read the contributing guidelines.
• I have referenced an issue containing the design document if my change introduces a new feature.
• I am following the contributing code guidelines.
• I have read the security policy.
• I confirm that this pull request does not address a security vulnerability.
  If this pull request addresses a security. vulnerability,
  I confirm that I got green light (please contact security@ory.sh) from the maintainers to push the changes.
• I have added tests that prove my fix is effective or that my feature works.
• I have added or changed the documentation.

Further Comments

[codecov]

Codecov Report

Merging #2720 (9f70baf) into master (3e3b59e) will increase coverage by 0.02%.
The diff coverage is n/a.

@@            Coverage Diff             @@
##           master    #2720      +/-   ##
==========================================
+ Coverage   75.11%   75.14%   +0.02%     
==========================================
  Files         293      293              
  Lines       16908    16908              
==========================================
+ Hits        12701    12705       +4     
+ Misses       3235     3232       -3     
+ Partials      972      971       -1     

Impacted Files	Coverage Δ
selfservice/flow/login/handler.go	78.40% <ø> (ø)
selfservice/flow/settings/handler.go	68.00% <ø> (ø)
session/test/persistence.go	100.00% <0.00%> (+1.38%)	⬆️

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