We have 2 Windows Server 2012R2 RDS and we use Mandatory Profiles. When we log off Windows and log back on again any website settings stored in cookies were lost.
The cookies is stored in the roaming part of the profile. New in IE10 is the webcache file database that keeps track of cookie stored in the profile AppData\Local folder gets deleted when you log off, if you have a roaming profile, and when you log on again all coockies are rewritten.
