Hi,
IE11 changed a lot of things in the way they handle cookies.
Some things can be solved by using VMware UEM, but it's a topic that a lot of customers are having problems with.
Check out this blogpost for a solution that works with VMware UEM.
http://rorydeleur.nl/2015/03/houston-we-got-cookies-with-ie11/
If you want to spoof the profile to be a roaming profile, with UEM this is easy, just enable the 'certificate support for mandatory profiles' option in the GPO. This will do the trick if you have mandatory profiles. If you have local profiles you have to use the solution that is described in the blogpost.
I would recommend to start testing with UEM and see if it solves your question.
Otherwise, please share your findings here so I can have a look.
Pim.