Document how to transfer cookies from setup() to all VUs

If you use the setup function to perform login steps - for example, logging in and automatically storing an SSO cookie - those cookies that are stored will not be automatically available to the main function (please contact me for a specific reproduction, if needed).

Start by reproducing the described setup() login flow and checking whether the stored SSO cookie is available in the main function and across VUs. Done means documenting the transfer or availability behavior clearly, including the steps needed to make cookies available to all VUs; the issue says a specific reproduction can be requested.

Written by the indexing model from the issue text.