Cookies in IE are not cleared during test runs

Katalon versions tested: 7.0.10, 7.2.0
Situation. We have implemented the Onetrust cookie disclaimer.

The first thing every test does is agreeing with the cookie policy.

What we observe in IE is:
The first test is running perfect.
The other tests are failing due to the fact that the disclaimer is not shown.

I have this as first lines in all the tests:
‘Delete all cookies after browser is opened’

But still not all cookies or session data is cleared (the cookie disclaimer is not shown).

Any ideas on where to look?