When your Cucumber feature seems to forget cookies / sessions when you run it with Selenium check if the test travels in time like here:

Given the date is 2017-10-20
When I sign in
Then I should see "Welcome!"

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What happens here is that the Rails application serving pages runs in 2017, but the process running your browser still lives today. This huge gap in time will expire most cookies immediately.

If all you need is to freeze the time to a date, a workaround is to travel to the future instead.