I read it, but I think you're doing it wrong. (And thank you so very much for the implication that I'm not knowledgeable. That really makes my morning.)
WordPress needs cookies so that you can retain login info, as you well know. Unless you're the EU having a snit fit, cookies are good in this case. Users are remembered by their browser, everyone's happy. This is true, by the way, of all web apps, like WordPress, Drupal, Joomla, ZenPhoto, etc etc.
One of the requirements of Page Speed is to serve static contents like images and stylesheets from a cookieless domain/subdomain.
Not a requirement, but a SUGGESTION, just be be clear on that one.
Even there, however, they suggest a separate domain, not a subdomain. That's why places like Amazon CDN and others use a separate domain named something OTHER than amazon.com - Full separation. For one reason, it prevents the cookie issue you're seeing, but for another, it separates the content clearly.
If you want to host your own CDN, you should get another domain (like yoursitecdn.com) and put the data there. It won't incur that much extra cost in the long run, and solves your issue by following the recommended practice.
Wanna have fun? Go look at how Amazon puts cookies down on your desktop.
.amazon.com That would cover all their subdomains too.
What you're doing has a point, but you're running into a flaw not with WordPress, but with the basic expectation of how webservers in general run, and how web browsers talk to them. Since that's going to be a loosing battle, do best practice and get a CDN on it's own domain. After all, WordPress uses http://s2.wp.com for a reason.