AJAX calls only send Cookies if the url you're calling is on the same domain as your calling script.
This may be a Cross Domain ProblemOperating in the cross - domain scenario. During login remote server is returning Set-Cookie header along with Access-Control-Allow-Credentials set to true.
The next ajax call to remote server should use this cookie.CORS's Access-Control-Allow-Credentials is there to allow cross-domain logging.
Hope it helps!!