API Login with Cookie authentication

I need to do login to a OData Rest API (using a GET method) that returns a Set-Cookie header.

I’ve used a API Form to make de GET request and was successful, but the Cookie is not stored neither I can access the header to store it myself.

How can I do that?

Update:

Set-Cookie header is not visible when I fetch API Schema:

But I can add Set-Cookie header and use it anyway.

However, within AppConnect, “Set-Cookie” header isn’t accessible at all.

The question remains… anyone know why?