Cookies are more appropriate for whole-site or whole-session data. There's no natural segregation of "this cookie belongs to this instance of this form". You could figure that out, but the additional moving parts cut down on the appeal.
> He just put the sessionId in the form data instead of a cookie.
This does not have the benefit of being usable across different tabs or even closing and re-opening the page.
Besides, (a minor point) shoving all the state in the cookie makes code simple i.e. don't have use URL params.
Why not use cookies?