Merge client- and request-level cookies in the header

[alexeyzimarev]

Fixes #2055

Description

• Merge client- and request-level cookies in one header
• Also allows using a manually-set cookie header without overriding it
• Copies response cookies to the client-level container if it is set
• Dispose the response message if not downloading data, it might've been a memory leak.

Purpose

This pull request is a:

• Bugfix (non-breaking change which fixes an issue)
• New feature (non-breaking change which adds functionality)
• Breaking change (fix or feature that would cause existing functionality to not work as expected)

Checklist

• I have added tests that prove my fix is effective or that my feature works
• I have added necessary documentation (if appropriate)