Currently, I would obtain the session cookie details from the response of the HTTP header by using an external Rest client like Postman. The feature to capture the results of the HTTP headers is considered as an enhancement request and it is on the road map. If you are a valid support user then you can raise a support case on [Denodo Support Site](https://support.denodo.com) so that our support team can help you.
If I am working with Denodo Standard edition, I would go for an alternative approach to [develop a custom wrapper](https://community.denodo.com/docs/html/browse/8.0/en/vdp/developer/developing_extensions/developing_custom_wrappers/developing_custom_wrappers#developing-custom-wrappers ) written in JAVA using [Denodo4E eclipse plugin](https://community.denodo.com/docs/html/browse/8.0/en/denodo4e/index#denodo4eclipse-plugin-guide ) to capture the response of HTTP headers and import it in Virtual DataPort server. You could refer to the sample scripts available under <DENODO_HOME>/samples/vdp/customWrappers folder.
Hope this helps.