Short answer:
The "Cookie not Present Error" means you're phone is not in the PBL's EhostDL.
Long answer:
Because the same qhsusb_dload (aka download mode) is built in to each stage of the boot process (pbl, sbl1, sbl2, sbl3) and different features are only available at certain stages, the "boot cookie" is used to help identify to QPST when you're in the pbl.
Think of it this way, download mode is a type of fatal error handler. If during the boot process an error is encountered preventing further boot up, that error is logged to memory and control is transfered to the download mode built in to the highest successfully loaded bootloader.
- Turn phone on -> Load PBL from SoC
- PBL does very basic hardware init and loads SBL1 from emmc
- SBL1 does more hardware init and loads SBL2 from emmc
- SBL2 does other hardware init and eventually loads SBL3 from emmc
- SBL3 does final hardware init and loads APSBL (aka OEMSBL: aboot, hboot, etc...)
At any stage above, if a fatal error is encountered, then download mode in the corresponding bootloader is entered. EhostDL (aka Emergency Host Download or Emergency Download) is ONLY available from the PBL and is only used to load the corresponding .hex file which will do just enough basic hardware init to allow the rest of the bootloaders (and the emmc partition table) to be downloaded and flashed to the phone.
This is just a quick overview. For a more in depth look at the entire boot process, please look at the documents linked from E:V:A's msm8960 thread (there's a link to his thread in the OP). In particular, there is a 30-40 page pdf which details the boot process, including memory addresses, and has some nice flow charts which help to visualize what I briefly touched upon.
-SLS-