Leads created in one domain remain anonymous in another until users nurture the lead under each domain, send emails with tracked links to each domain, the activity will be tied together under that lead and automatically merged.
By default, the session ID cookie domain is set to the hostname you're accessing. For example, if you access the catalog using server myhost.mydomain.local, then cookie will be set by myhost.mydomain.local.
The same principle applies to browsers: a cookie is browser-specific. Even though users may have been cookied, say, using Safari, if they start a new session using Chrome a new cookie will be set, starting a new anonymous lead that will not be merged with the previous one created for Safari.
Although there is the RFC 2965
http://tools.ietf.org/html/rfc2965 (Set-Cookie2, had already obsoleted RFC 2109) that should define the cookie nowadays, most browsers don’t fully support that but just comply to the original specification by Netscape.
There is a distinction between the Domain attribute value and the effective domain: the former is taken from the Set-Cookie header field and the latter is the interpretation of that attribute value. According to the RFC 2965, the following should apply:
If the Set-Cookie header field does not have a Domain attribute, the effective domain is the domain of the request.
If there is a Domain attribute present, its value will be used as effective domain (if the value does not start with a . it will be added by the client).
CookieDomain accepts a space-separated list of domains to set cookies for, in which case the Set-Cookie: ... is sent to the client for each of the specified domains. Due to the cookie restrictions described in the section called “NOTES”, specifying multiple domains is only rarely (if ever?) needed and possible to implement.
There are a number of different approaches you can consider:
Managing Multiple Domains and Microsites
https://community.marketo.com/MarketoArticle?id=kA050000000Kyow
Munchkin Overview
https://community.marketo.com/MarketoTutorial?id=kA250000000Kz1a