I had a similar issue. Watching with the developer window, I could see that after login a cookie was being sent but then the page via javascript or something else was redirecting before returning control to the program. So, I was unable to get that cookie and save it off.
After more research I realised that the program was starting with a clean session each time (this answer helped a lot) so the persistent cookies weren't persistent at all. It took further research, but giving selenium (via splinter) a profile to work with resolved my issue. I am actually using python, but I'm sure the options still follow for C#
chrome_options = webdriver.ChromeOptions()
chrome_options.add_argument("user-data-dir=" + tdir + "/chrome-session")
chrome_options.add_argument("--profile-directory=Default")
with Browser('chrome', headless=True, options=chrome_options) as browser: