Hey,
First, please do not modify that rule since we overwrite it, create a new one if needed.
Second, historically because the plugin was using Cache rules, that setting was not for Cloudflare, but for the fallback cache, in the past the plugin was using cache-control headers to tell CF to don’t cache different pages.
In the upcoming version we would add the functionality that you except, all the cookies added there would be added automatically to the CF Cache rule.