Destroy is the destructor for the object instance. Destroy will signal a TNotifyEvent event type whan a procedure has been assigned to the OnDestroy event handler. 

Use OnDestroy to handle management of the CookieCollection during destruction of the TIdCookieManager object instance. 

Destroy frees resources allocated to the cookie manager, including the CookieCollection property, prior to calling the inherited Destroy method.

TIdCookieManager.OnDestroy 

TIdCookieManager.CookieCollection