Issue with Affiliates plugin not creating cookies


I'm trying to set up the Affiliates plugin with Pro Sites and am having problems. After coming across something in a forum that mentioned caching could be a problem, I contacted my host, WPEngine, since I know they cache everything. After doing some testing, it looks like caching is most likely the problem.

WPEngine is willing to work with me on it and create an exception so the cookies will work. I just wanted to see if you had any suggestions for anything I can tell them to speed things along?

Also, I was wondering if you've encountered this before and if you have any suggestions. I want to get it working as soon as possible, so if you have any experience with this, your feedback would be appreciated.