Selecting the menu item Tools > Web Storages opens a window where all the content of all available storages can be inspected. It is possible to delete the data individually per web site, per storage type and you can clear all storages at once.
The cookies have a special option where you can "protect" individual cookies by setting the checkbox in the cookie table for these cookies. Protected cookies won't be deleted if the App is instructed to delete all cookies or even all storages at once. You can still delete these cookies, but only if you explicitly select the cookie and then delete the selection. Protecting cookies is useful if you want to keep certain cookies (for example those which store the login status for a site) but still want to delete all cookies when leaving the App for privacy reasons.