Fix redirects with changing cookie values

[amelchio]

What do these changes do?

Fix an issue where cookies would sometimes not be set during a redirect.

When looping due to a redirect, the cookies variable from the previous loop would clobber the cookies argument introduced in #3396.

Are there changes in behavior for the user?

Related issue number

Checklist

• I think the code is well written
• Unit tests for the changes exist
• Documentation reflects the changes
• If you provide code modification, please add yourself to CONTRIBUTORS.txt
  • The format is <Name> <Surname>.
  • Please keep alphabetical order, the file is sorted by names.
• Add a new news fragment into the CHANGES folder
  • name it <issue_id>.<type> for example (588.bugfix)
  • if you don't have an issue_id change it to the pr id after creating the pr
  • ensure type is one of the following:
    • .feature: Signifying a new feature.
    • .bugfix: Signifying a bug fix.
    • .doc: Signifying a documentation improvement.
    • .removal: Signifying a deprecation or removal of public API.
    • .misc: A ticket has been closed, but it is not of interest to users.
  • Make sure to use full sentences with correct case and punctuation, for example: "Fix issue with non-ascii contents in doctest text files."

[codecov-io]

Codecov Report

Merging #3576 into master will not change coverage.
The diff coverage is n/a.

@@          Coverage Diff           @@
##           master   #3576   +/-   ##
======================================
  Coverage    97.9%   97.9%           
======================================
  Files          43      43           
  Lines        8556    8556           
  Branches     1376    1376           
======================================
  Hits         8377    8377           
  Misses         74      74           
  Partials      105     105

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[amelchio]

I apologize for missing some lint, I think there were some general build issues that made it hard for me to see that some of the breakage was caused by myself. Anyway, all fixed now.

[amelchio]

@asvetlov Sorry to disturb. You approved #3396, is there more I can do to get the fix in this PR merged?

[asvetlov]

Sorry, I'm very busy this month.
The PR is good.
Thank you for patience.