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They would get loaded after the WPMU ones, so if there’s no check for them pre-existing, then they obviously overwrite them.

I currently don’t have a cookie_domain setup in wp-config.php either and everything works fine. It should get assigned by WPMU in wp-settings.php if it isn’t in the config.

In the wp-config.php file, verify:

$base = '/';

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

define('PATH_CURRENT_SITE', '/' );

define('SITE_ID_CURRENT_SITE', 1);

define('BLOGID_CURRENT_SITE', '1' );

…where domain.com is obviously your domain. If you are using any settings unlike what I posted above, paste them here please.