Yes I noticed that myself last night when I posted the blog link but haven't had a chance to investigate further. I'll try to go through it today if I have time or try to contact Cathal for clarification. The setting would be in the web.config though I do know that.

Any cookie is local to the computer the user is on so if they're no longer on the website Users Online won't see them. All the cookie does is store their information in an encrypted format so that the next time they visit the website that information is pulled and they're logged in automatically. A cookie doesn't communicate with a website once the user leaves the website (either by closing their browser or navigating to another site).