eZ Publish is not supposed to create session cookies if you have Lazy Sessions. But as soon you open a the login screen a session will be started, even if you don't log in.
Please notice that when you log out, a new anonymous session cookie will be created as well. I'm not sure this is the same problem or a different one.
- In your override/site.ini.append.php, add the following lines
- Open the frontend, and confirm you have no session started
- Try to open the login scree ( http://your-site.com/login )
- An anonymous session cookie will be started