It's not linked there (or on any Wikitech pages I can find), but I can imagine there's a secondary concern of *.wikimedia.org cookies getting sent to third parties - e.g. Stack Overflow has separate second-level domains (stackoverflow.email/stackoverflow.blog) for their 3rd-party-hosted email service and blog for exactly this reason (cf. https://nickcraver.com/blog/2017/05/22/https-on-stack-overfl...)