This problem is still happening if you are using a managed HttpFilter to filter FastCGI/PHP.
(Vista SP2, using cgi.dll 7.0.6001.18000, which the hotfix will not update.)
When FastCGI/PHP is done with the request and the filter stream is about to be flushed, HttpContext.Response.Headers shows only the last Set-Cookie that was set by PHP. Yet, all of the cookies are somehow magically received by the client. This makes me suspect that when the bug was fixed for the hotfix, it was done in an incomplete way that only addressed the symptom.
It is a problem because I wish to examine the cookies that PHP is setting, on their way to the client.