That does not seem correct, I ran this:

#!/usr/bin/perl -l -w
use strict;
use CGI qw(:all);

print for keys %INC;
my $c = cookie('bob');
print "--------";
print for keys %INC;
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And got these results:

$ ./tst | grep "^[C-]"
Carp.pm
CGI/Util.pm
CGI.pm
--------
Carp.pm
CGI/Util.pm
CGI/Cookie.pm
CGI.pm
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So using just 'CGI' SHOULD work and load the CGI::Cookie module when you call the cookie function.