This is just a noise issue, at least where Nexus is concerned. It should not affect the ability to resolve or deploy artifacts in any way.
I've committed an improvement to the non-lightweight http wagon in wagon trunk (post 1.0-beta-5 versions), which provides fine-grained configurability in the settings.xml to allow users to tell httpclient to ignore cookies. In this case, since the cookie has the wrong path, and isn't needed anyway, users could safely ignore it. See the linked issue for more details.