posting a comment on cached page
You could give Alternative Database Cache a try. Set the minimum cache lifetime and you should see pages cached within the cache lifetime window not being cleared. Clearing the cache when a comment is saved is default behavior; look at the bottom of the comment_form_submit function if you wish to see the call to cache_clear_all.

As for the cookie, it is most likely being set because of calls to drupal_set_message; also noted is comment_form_submit calls user_cookie_save