This article explains why it is not possible to add a Fully Qualified Domain Name (FQDN) object for any Top-Level Domain (TLD) with the cdn.cookie domain on SonicOS firewalls.
The following screenshots were captured from the firewall configuration :
Step 1 :
Create an address object with type as FQDN, navigate to Object - Match Objects - Addresses - Address Objects - Add

Step 2 :
Upon attempting to add the address object, an error was encountered indicating a bad value with script-like text found. The firewall failed to save the address object.

Note : This has been reported on both GEN6 and GEN7 firewalls.
The firewall is detecting this configuration as malicious, which is why it is giving an error message stating "Bad value, script-like text found." This is the default design of the SonicOS firewalls, which does not create an object for any top-level domain with the cdn.cookie domain. To address this issue, please refrain from including cdn.cookielaw.org and instead utilize cookielaw.org as a substitute.