Hi,

Using the DebugBar, you can see cookies sent and received on each HTTP request.
To do so, go to the HTTP tab, then select a request. In general to have the page request, select the first entry in the grouped pages for a web page.
Then, select the first tab" Headers". Here you can see headers sent by IE (including cookies) and headers sent by the server (including cookies sent by the server).

Note that in DebugBar versions previous than 4.1, cookies were displayed by page. This information was partial, because for a loaded page, there may be different cookies sent. For instance for path dependant cookies or for images, external elements on another domain.
That is why the new version is focusing on the headers exchanged, so you can have detailled cookie information per request.

Hope this helps.