400 Bad Requests related to WF Auth Cookie

We have a Multi-Site installation with more than 50 sites, and when we navigate through some sites (twenty or more), we receive 400 Bad Request errors.
Its cause is the creation of wfauth-cookie by Wordfence.
For the production environment, we can live with that error. Still, on the homologation env, we decided to disable the WF because we have a VPN, and only authenticated users have access to that env.
The problem is that even with WF disabled in the network, the cookie is still created.
Is there anything else we should do to prevent this cookie from being created at all?