This problem exists at least since ZCM 10.2 and FF 3.5

If you do not enable gobal acceptance of all cookies you can't login to
Zenworks Administration via FF. This is very inconvenient as I normally
only allow selected cookies and always have to change this setting if
using the Zenworks administration page and change that back afterwards.

With IE 8 this problem does not exist, therefore I use IE 8 for these
things, but that's only available on Windows, so not an ideal solution
in all cases.
W. Prindl