* 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
content::BrowserThread::UI, FROM_HERE,
        base::Bind(&AtomURLRequest::InformDelegateResponseCompleted, this));
    DoTerminate();
  } else if (data_transfer_error) {
    
    DoCancelWithError("Failed to transfer data from IO to UI thread.", false);
  }
}
void AtomURLRequest::OnContextShuttingDown() {
  DCHECK_CURRENTLY_ON(content::BrowserThread::IO);
  DoCancel();
}
bool AtomURLRequest::CopyAndPostBuffer(int bytes_read) {
  DCHECK_CURRENTLY_ON(content::BrowserThread::IO);
  
  
  auto buffer_copy = new net::IOBufferWithSize(bytes_read);
  memcpy(buffer_copy->data(), response_read_buffer_->data(), bytes_read);
  return content::BrowserThread::PostTask(
      content::BrowserThread::UI, FROM_HERE,
      base::Bind(&AtomURLRequest::InformDelegateResponseData, this,
                 buffer_copy));
}
void AtomURLRequest::InformDelegateAuthenticationRequired(
    scoped_refptr<net::AuthChallengeInfo> auth_info) const {
  DCHECK_CURRENTLY_ON(content::BrowserThread::UI);
  if (delegate_)
    delegate_->OnAuthenticationRequired(auth_info);
}
void AtomURLRequest::InformDelegateResponseStarted(