Resolved nginx cache sub-folders not getting created

[thinkingcap]

Ive been enabling the nginx cache on a few wordpress sites and in general its gone well with a boost to requests/sec in performance.
However I have this one site where I get a constant cache MISS on every request, its configured exactly like the others and Ive noticed the root cache folder gets created but no actual cache sub-folders.
"/var/cache/nginx/example.com_proxy/" exists but its empty.
Ive checked cookies via Chrome and curl and added them to the "Cache requests with cookies" config.

Any ideas what to check next?

 

[thinkingcap]

Server is sending a set-cookie header which disables the cache.

 

[thinkingcap]

To fix this I looked for what was starting sessions by grepping for 'start_session' through plugin code in WP. It was a plugin I wasnt using so removed it and no longer have an issue with set-cookie.