getallmatchingheaders() works fine.

The problem is with the self.headers in the SimpleHTTPRequestHandler and derived classes.

A website may send multiple set-cookie headers, using gmail.com as an example: 

Set-Cookie: GMAIL_RTT=EXPIRED; Domain=.google.com; Expires=Tue, 13-Mar-07 21:03:04 GMT; Path=/mail
Set-Cookie: GMAIL_LOGIN=EXPIRED; Domain=.google.com; Expires=Tue, 13-Mar-07 21:03:04 GMT; Path=/mail

The SimpleHTTPRequestHandler class combines multiple set-cookie response headers into a single comma-separated string which it stores in the headers dictionary

i.e. 

self.headers ['set-cookie'] =  GMAIL_RTT=EXPIRED; Domain=.google.com; Expires=Tue, 13-Mar-07 21:03:04 GMT; Path=/mail, GMAIL_LOGIN=EXPIRED; Domain=.google.com; Expires=Tue, 13-Mar-07 21:03:04 GMT; Path=/mail

The problem is if you try to use code that uses self.headers['set-cookie'] and use string.split to get the original distinct cookie values on the comma delimiter, you'll run into trouble because of the use of the comma character within the cookies' expiration tags, such as Expires=Tue, 13-Mar-07 21:03:04 GMT

Again, getallmatchingheaders() is fine as an alternative, but as long as you are going to the trouble of storing multiple set-cookie response headers in the self.headers dict, using a delimiter of some sort, I'd argue you might as well also take care that your delimiter is either unique or escaped within the fields you are delimiting.