To my amazement, it isn't Firefox only that not automatically deletes cookies on close, despite the option checked in, as a matter of fact Chrome does the same.

If you want to make sure that Chrome actually deletes cookies, you have to manually delete them. I say so, perhaps there is a special setting which allows to do it, but unlike Firefox there is no about:config form.

I'm not invoking a conspiracy theory, but I wonder if, given that Chrome is Google's tool for world domination, perhaps there is a simple explanation for Chrome not removing personal data even when instructed to do so with the corresponding settings.

In theory, in the interest of people, governments out there should sue Google for their active contribution to stealing data they do not own.

With that said, in a world where no government on earth has sued a company such Microsoft despite forcing the use of an operating system designed to steal personal data (in Windows 10, telemetry cannot be disabled), I'm not sure this will happen.