Cookies not saved during NTLM auth negotiation

Looking at the screenshot that was posted in the community forum, it seems like the current way we handle NTLM authentication looses some cookies. The current implementation basically uses http.RoundTripper wrappers to handle NTLM and digest authentication: https://github.com/loadimpact/k6/blob/a8d9ee9da9d621ffcb02a5d9b832f715b47e5476/lib/netext/httpext/request.go#L277-L282

So this might also be something that affects the digest authentication as well... It's worth investigating and might affect how we implement https://github.com/loadimpact/k6/issues/800 as well. It might be necessary to scrap the current wrappers and write a new http.Client alternative that is able to handle these authentication types ourselves...