Hi Marc,
Unfortunately the mediaplayer implementation is dependent on the OEM and Konfabulator just passes the video URL for them to play and therefore can't set the cookies there. You can try and provide https URLs for videos and probably even make them dynamic/fast-expiring for security. Please refer http://developer.yahoo.com/forum/Getting-Started-Beginners-Yahoo-/login-verification/1267571185000-17c0962a-abc7-3c76-961b-4f7933acf04c for more.
Thanks,
Vivek