I'm seeing this too. v. 184.108.40.206. If a scan finds 45 tracking cookies, it might delete 35 or so, then quit with the error described in the above post, stating that the file will be removed when the computer is rebooted. The program still shows the remaining 10 or so cookies, and they cannot be removed even if you try again. When you click Finish the program asks for confirmation to not remove the remaining cookies. I have not checked that the cookies are actually deleted on a reboot.
A related criticism: When you check the box to remove cookies and click remove, the checkbox disappears and there is no visual indication that the system is working except the number decreasing in the tab selector. I think this is a poor design. A more explicit indication of program state and progress would be better.