Both options to delete a cookie by domain and by cookie do not work for Chrome and Firefox. It still works for Internet Explorer though.
The ClearBrowserCache step is working as expected and clears all cookies.
At this point it is possible to run a WPF application with arguments only as a workaround - starting a separate process in a coded step as given in this example. It would be more useful if this feature is implemented when configure the WPF app in the test.