For me it's working fine. The following code creates and removes the cookie properly (as can be seen in the chrome dev tool for example):

{{velocity}}
$response.addCookie('vincent', 'massol', 10000)
$response.removeCookie('vincent', $request)
{{/velocity}}

If you comment out the second line, you can see the cookie but if you leave it uncommented the cookie is properly removed.

Here are the set-cookie headers sent in the response: