Make sure set-cookie is retained from external auth endpoint

[aledbf]

What this PR does / why we need it:

Types of changes

• Bug fix (non-breaking change which fixes an issue)
• New feature (non-breaking change which adds functionality)
• Breaking change (fix or feature that would cause existing functionality to change)

Which issue/s this PR fixes

fixes #5054
replaces #4872

How Has This Been Tested?

Checklist:

• My change requires a change to the documentation.
• I have updated the documentation accordingly.
• I've read the CONTRIBUTION guide
• I have added tests to cover my changes.
• All new and existing tests passed.

[k8s-ci-robot]

[APPROVALNOTIFIER] This PR is APPROVED

This pull-request has been approved by: aledbf

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Needs approval from an approver in each of these files:

• OWNERS [aledbf]

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[codecov-io]

Codecov Report

Merging #5067 into master will increase coverage by 0.01%.
The diff coverage is n/a.

@@            Coverage Diff             @@
##           master    #5067      +/-   ##
==========================================
+ Coverage   58.46%   58.47%   +0.01%     
==========================================
  Files          88       88              
  Lines        6866     6866              
==========================================
+ Hits         4014     4015       +1     
+ Misses       2412     2410       -2     
- Partials      440      441       +1

Impacted Files	Coverage Δ
internal/watch/file_watcher.go	84.61% <0%> (+3.84%)	⬆️

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[aledbf]

/retest