I see that cookie when I try to visit a Web site that's blocked in my hosts file.
Its appearance has usually been accompanied by a Safari screen saying:
Safari can't connect to the server.
Safari can't open the page "http://******.com/" because Safari can't connect to the server "******.com".
I've recently begun seeing it on occasion without seeing the screen because, I assume, only one element of a(n eBay) page is blocked, but not the entire page.
I guess it's fair to say that it is Safari that's placing the cookie despite the fact that it's not "initiating" it (in my instances, anyhow).
Edit: I guess it's also fair to say that (in my instances, anyhow) the cookie is both benign and desirable.