No errors or alerts are produced when running the code below.

I simply went right into a problem using blogging platforms when attempting to produce snacks within shortcode occasions.
Within the code below, the test1 cookie is produced all right, nevertheless the test2 cookie isn't produced.
The verbiage 'Code Ran' does display however.

if ( ! function_exists('cookieset')) :
function cookieset( $atts, $content = null ) {
    extract( shortcode_atts( array(
        'name'     => 'cookieloc',
        'redirect' => '/',
        'expires'  => '365',
    ), $atts ) );
    setcookie("test2", 1, time()+3600, "/", ".domainname.com", false, true);
    return "Code Ran";
}
endif;

if ( ! function_exists('cookieloc_action') ) :

function cookieloc_action() {
    echo add_shortcode('cookieloc', 'cookieset');
    setcookie("test1", 1, time()+3600, "/", ".domainname.com", false, true);  
}
endif;

It seems the term Press doesn't buffer the whole page content, but progressively transmits this content, thus I am unable to send headers within an add_shortcode(...) function

Sadly, an order of execution isn't provided within the API sections using blogging platforms... http://codex.wordpress.org/Shortcode_API