Hmm… setting cookies from functions is definitely possible. Are you seeing any error in the console? If so, it’d be great to see a screenshot. And either way, a request id would let us check our logs in case we see any clues there.
In the meantime, here’s an example of a function that sets a jwt cookie: netlify-auth-example/auth.js at master · futuregerald/netlify-auth-example · GitHub