I had the exact same problem. I've run several tests with GWO and never had this issue. However, with my latest MVT, at first I wasn't seeing GWO even set the cookie. Then, it started setting the cookie but was not able to read the cookie.
Although I am running a sitewide, MVT, I am not running it across multiple domains. However, in order to get GWO to set and read the cookie correctly, I found that I needed to use some of the code required for sitewide tests that span multiple domains. Here is the google article on cross domain tracking:
http://www.google.com/support/websiteoptimizer/bin/answer.py?hl=en&answer=151978
According to the Google WSO API, by default, GWO is setting this property:
gwoTracker._setDomainName("auto");
For whatever reason, it was my experience that this was not happening and by making this call explicitly in my code, it fixed the problem! This call needs to be added to both your Tracking Script and your Conversion Script.
Again, I've never experienced this with any of my other GWO tests, so it was kind of weird to have it happen out of the blue but explicitly making this call fixed this problem for me. Good luck.