My solution
Because it looks like cookes is excluded from parsing HTTP request header I added this:
in file "...\source\packages\fcl-web\src\base\custapache.pp"
procedure TApacheRequest.InitFromRequest;
commented out ParseCookies and in first line added:
begin
Cookie := MaybeP(apr_table_get(FRequest^.headers_in,PAnsiChar(HeaderCookie)));
// ParseCookies;
...
end;
Now Arequest.Cookie, Arequest.CookieFields and Arequest.GetHTTPVariable(hvCookie) works in OnRequest events.
This is for Apache 2.2. For Apache 2.4 there is custapache24.pp something diferent in this section. I not tried this.
There may be a better solution. I do not like what I had to touch the file in packages\fcl-web.
Thanks Ptvs and Sash!