Did you get a resolution to this issue?
I am experiencing a similar situation with an Apache environment serving .php: I have opened a separate thread.
Using Microsoft Network Monitor, I verified that the cookies are set and applied to headers when using a browser (IE) to make requests from the Apache environment. When using WCAT, the requests are all treated as unique sessions, since ongoing requests don't include cookies in the header.
However, when I used WCAT against an IIS 6 (.net environment), cookie handling works as expected and can be verified using a network monitor.
As you indicated, the User's Guide for WCAT indicates that it should work with IIS and Apache servers, as long as they use a standard HTTP protocol (in my environment, it's HTTP 1.1).
Since the protocols seem generic, I'm not sure why WCAT would have a problem with Apache or .php.
Here is the link to the thread I opened that includes my scenario details:
http://forums.iis.net/p/1162115/1922515.aspx#1922515
....Dirk