You also need to set the option
The manual describes this as
The name of the file containing the cookie data. The cookie file can be in Netscape format, or just plain HTTP-style headers dumped into a file. If the name is an empty string, no cookies are loaded, but cookie handling is still enabled.
Since you are using the cookie jar you end up saving the cookies when the requests finish, but since the
CURLOPT_COOKIEFILE is not given, cURL isn't sending any of the saved cookies on subsequent requests.