Trusted Auth Works with QUERY_STRING but not with COOKIE

Not sure whether to post here or in the .NET SDK space.....

Environment: BI 4.1 SP3 on Windows Server 2012.  Separate Web server and app server.

I'm trying to use Trusted Authentication to log in to BO from a VB.Net app using Trusted Authentication.

This code works:

If Not IsNothing(ConfigurationManager.AppSettings.Item("BOEURL")) Then
    ReportingURL = ConfigurationManager.AppSettings.Item("BOEURL")

    Response.Redirect(ReportingURL & "?BOUser=" & PersonID.ToString())
    'Remove the error message.
    SetMessageText(lblMessage, "")
Else
    SetMessageText(lblMessage, "Unable to find BI Launchpad URL")
End If

With this in global.properties:

trusted.auth.user.param=BOUser

sso.enabled=true

trusted.auth.user.retrieval=QUERY_STRING

So I know that Trusted Authentication is configured correctly in the CMS.  However, I don't want to include the user ID in the query string, so I'm trying to use a cookie instead.

But this code sends me to a login page:

If Not IsNothing(ConfigurationManager.AppSettings.Item("BOEURL")) Then
    ReportingURL = ConfigurationManager.AppSettings.Item("BOEURL")
    Dim BOCookie As New HttpCookie("BOCookie", PersonID.ToString())
    BOCookie.Path = "/"
    BOCookie.Expires = DateTime.Now.AddMinutes(5.0)
    Response.Cookies.Remove(BOCookie.Name)
    Response.Cookies.Add(BOCookie)

    Response.Redirect(ReportingURL)
    'Remove the error message.
    SetMessageText(lblMessage, "")
Else
    SetMessageText(lblMessage, "Unable to find BI Launchpad URL")
End If

And this is what's in global.properties:

trusted.auth.user.param=BOCookie

sso.enabled=true

trusted.auth.user.retrieval=COOKIE

Does anyone have any thoughts about what's happening?

Thanks!

-Dell