I just thought I was updating this after further testing, in case anyone would meet him later.
I tested Firefox 3.6, MSIE 7, Safari 4, Chrome 4 and Opera 10, and all of them actually support the creation of cookies through third-party javascript, even if third-party cookies are disabled. I conclude this because cookies are created for the first domain domain, so browsers see them as the first cookies, although they are created by a script from a third-party source.
These are only cookies created by third-party request headers that are rejected when this feature is enabled.
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