If I add into config.php
define('COOKIE_DOMAIN', '.domain.com');
I am unable to login into admin panel

Does anybody have experience on it ?

Do you have your site on domain.com?

it fixed it needs to be without a DOT 

I am not sure if in that case are cookies really shared across  all subdomains.

I mean this one is not working

define('COOKIE_DOMAIN', '.domain.com');

this look ok

define('COOKIE_DOMAIN', 'domain.com');

I know, but checking on internet about COOKIE_DOMAIN , some people says there should be dot, another that there should not be dot.

if I use DOT I can not login into oc-admin, in clean browser, may be there is a bug in core ?
without a DOT it is working well, but I am not sure, as you said if it will works as intended for all site without a DOT 

Ok so correct is:
define('COOKIE_DOMAIN', 'yoursite.com');  (it's like that in sample config)

Osclass then set cookies on domain yoursite.com
Sample:
setcookie($var, null, -1, REL_WEB_URL, COOKIE_DOMAIN);

The guidelines are to use .domain.com when wanting to enable same cookie on root and subdomains of that root, and without dot for cookie use on single domains only (per root OR subdomain cookie).

Under osclass and the way session handling was built, it's sufficient to use domain.com for both root AND subdomain use.

If you're having issues then check your php config.