Ok, I found the solution. You have to put shields up for the site. I had put them down for this site because the site was not working. It turned out to be a problem with the site and not Brave in the end, but I forgot to put shields back up.
It is strange and I don’t like it for Brave to force a site onto “always allowed to store cookies” if shields are down - especially without any warnings.
You toggled Brave shield to OFF for the visited site because otherwise it won’t open correctly;
You allowed Third Party Cookies @ brave://settings/cookies
I checked several sites that have cookies that are “always accepted”. In all cases, once I was on the website, I would turn shields back on, but I still can not delete the cookies on these sites. The delete button for those cookies doesnt work regardless of the shields setting. If I took shields down, it was because the site was broken with them up. The thing I want is to be able to delete the cookies after they have been set, and that option is not available. The button is there, but it doesnt work.
Yes it is a disappointing non working feature that has been an issue since I think I started using Brave which is around 3 years ago or more.
I don’t understand why it has not been fixed or the Delete command removed from the context menu as it is just confusing to the average user…