I faced this interesting problem. It works on Chrome but not on IE.
After a while I found that IE does not allow sites with
It has good reasons. Because DNS servers do not accept this characters.
The answer from StackOverflow:
Internet Explorer rejects all cookies with an underscore in the domain, because underscores are not allowed in DNS hostnames. This is a well-known limitation in IE, documented in http://blogs.msdn.com/b/ieinternals/archive/2009/08/20/wininet-ie-cookie-internals-faq.aspx
The workaround is to remove the underscore from the hostname.