* Electron version: 1.4.5
* Operating system: Win 10 x64

### Expected behavior

`net.request` sends cookie as what I set

### Actual behavior

`net.request` sends cookie as default session's cookie

### How to reproduce

```
const {net} = require('electron');
const request = net.request({
	method: 'GET',
	url: 'https://mydomain.com/foo',
	session: null
});
request.removeHeader('Cookie');
// If current default session has a cookie `foo=11111`, 
// `request.setHeader` here has no effect. the request always send `foo=11111` 
// but expected is `foo=22222`
request.setHeader('Cookie', 'foo=22222');
request.end();
```

atom/browser/net/atom_url_request.cc
DCHECK_CURRENTLY_ON(content::BrowserThread::IO);
  if (!request_) {
    return;
  }
  request_->CancelAuth();
}
void AtomURLRequest::DoCancelWithError(const std::string& error,
                                       bool isRequestError) {
  DoCancel();
  content::BrowserThread::PostTask(
      content::BrowserThread::UI, FROM_HERE,
      base::Bind(&AtomURLRequest::InformDelegateErrorOccured, this, error,
                 isRequestError));
}
void AtomURLRequest::DoSetLoadFlags(int flags) const {
  DCHECK_CURRENTLY_ON(content::BrowserThread::IO);
  if (!request_) {
    return;
  }
  request_->SetLoadFlags(request_->load_flags() | flags);
}
void AtomURLRequest::OnAuthRequired(net::URLRequest* request,
                                    net::AuthChallengeInfo* auth_info) {
  DCHECK_CURRENTLY_ON(content::BrowserThread::IO);
  content::BrowserThread::PostTask(
      content::BrowserThread::UI, FROM_HERE,
      base::Bind(&AtomURLRequest::InformDelegateAuthenticationRequired, this,
                 scoped_refptr<net::AuthChallengeInfo>(auth_info)));
}
void AtomURLRequest::OnResponseStarted(net::URLRequest* request) {