The CookieCuller extension, although unmaintained, works in Conkeror. It provides a cookie manager window.

Here are two commands to open the CookieCuller window in Conkeror.

const cookie_culler_chrome = "chrome://cookieculler/content/CookieCuller.xul";

interactive("cookie-culler-dialog", "Show the CookieCuller settings in a dialog box.",
    function (I) {
        var frame = I.buffer.top_frame;
        frame.openDialog(cookie_culler_chrome,
                         "CookieCuller",
                         "centerscreen,chrome,dialog,modal,resizable");
    });

interactive("cookie-culler", "Open the CookieCuller settings in a new buffer.",
    "find-url-new-buffer",
    $browser_object = cookie_culler_chrome);

Nonworking Features

CookieCuller has a feature to "delete unprotected cookies" at startup, but this feature is implemented in a way that depends on Firefox chrome, and so it does not happen automatically in Conkeror.