For what it's worth, I've been having the same problem ever since I got my iPhone 4s. I've been trying to isolate what triggers the cookie setting change, but so far I haven't had much luck. I do have one suspicion which is that the settings change occurs when my phone reconnects to the guest wifi network at my workplace. This is a secured but open network in which I have to enter login credentials on a webpage to get access - similar to many hotels. The iPhone remembers the credentials, so I don't have to enter them each time. But it seems that when I reconnect after being gone for a day or two (i.e. after my current login has expired), the cookies become disabled.
I'm curious if anyone else on this thread is routinely connecting to a login/password secured wireless network. Perhaps there's some connection, perhaps not.
I look forward to finding a permanent fix for this issue!