CURLOPT_COOKIE.3: Explain that the cookies won't be modified

The CURLOPT_COOKIE doc says it "sets the cookie header explicitly in the
outgoing request(s)." However there seems to be some user confusion
about cookie modification. Document that the cookies set by this option
are not modified by the cookie engine.

Bug: http://curl.haxx.se/mail/lib-2015-05/0115.html
Reported-by: Alexander Dyagilev