Issue in ./help/web-sdk/commands/configure/edgedomain.md
Adobe inherently sets first party cookies, with or without CNAMEs. The CNAME allows you to have the endpoint reflect your domain (so data goes to https://smetrics.yourdomain.com/ee/v1/interact instead of https://edge.adobedc.net/ee/v1/interact) which may help with some ad blockers but won't have a significant impact on cookies.