Delete Cookies on Exit and How to Whitelist Websites
Cookie management has changed from what many people were used to due to upstream changes on Chromium. The key thing to realize is that using Delete Browsing Data will override any other settings—you can’t whitelist sites there anymore; everything gets deleted. In other words, you will want to never enable this option unless you want everything deleted.
In order to counter this and give people control, Brave has added a setting called Forget me when I close this site in your Shields settings. If you enable it by default (Settings → Shields), it will erase cookies from sites when you’re done with them. Any websites you want to keep your info on can be whitelisted by adjusting the per-site settings using the Brave Shields lion icon in your address bar.
The opposite also applies: if the global setting is off, you can enable Forget me when I close this site on a per-site basis for sites you want to clear data from when finished.