Wildbest, I dug into your headers tip a little more and updated my useragent line to a different user agent and suddenly the .ASPXAUTH cookie was set correctly (and automatically) in the cookie file :)
In otherwords I changed this line:
curl_setopt($ch, CURLOPT_USERAGENT, "Mozilla/4.0 (Windows; MSIE 6.0; U; Windows NT 5.1)");
curl_setopt($ch, CURLOPT_USERAGENT, "Mozilla/5.0 (Windows; U; Windows NT 5.1; en-US; rv:18.104.22.168) Gecko/20101203 Firefox/3.6.13 ( .NET CLR 3.5.30729)");
And now both cookies are set automatically by curl - no problem.