Because mine does. At least it does in Firefox 11. As of the upgrade, I am annoyingly receiving third-party cookies again. I've narrowed it down to FoxyProxy.
Here's what happens:
As soon as any website is loaded, the network.cookie.cookieBehavior line in my prefs.js file is deleted, thereby allowing all cookies.
If FoxyProxy is disabled (completely, not a whitelist/blacklist thing) this does not happen.

