Explanation: For RTMP distributions, when Amazon CloudFront requests an object from the origin server, it removes any cookies before forwarding the request to your origin. If your origin returns any cookies along with the object, CloudFront removes them before returning the object to the viewer.
For RTMP distributions, CloudFront does not cache cookies in edge caches.
Reference: http://docs.aws.amazon.com/AmazonCloudFront/latest/DeveloperGuide/Cookies.html