I made it to work by setting `Session cookie domain` to `.example.com` (don't forget the dot at the beginning). Then, I restarted NodeBB and it works.

*NodeBB Admin Control Panel → Settings → Cookies → Session cookie domain*

![0_1486924268283_session-cookie-domain.png](https://i.imgur.com/dbGKpf7.png)

Now there is a leading dot (`.example.com`) and it works:

![0_1486924274989_dot.example.cookie.png](https://i.imgur.com/P7p2S3x.png)