Not saying it was right or wrong, it just wasn't a fun experience thinking I was going crazy. And hopefully if anyone else is trying SETCOOKIE() and it's not working they also realize they will have to use JS.
Don't get me wrong, as a contractor to a company that uses WPEngine, we have had a great experience with it - but e.g. in the case of setcookie() being completely useless for unauthenticated users, some documentation / warnings / big red flags would be nice.
In my case I was trying to build a simple site selector for unauthed users that would forward them to their selected site every time they hit the main domain. Nothing exotic by a long shot.
This isn't something specific to WPEngine, this is how all the good WP caching plugins work.