Optionally, the last state of blocks is saved in a cookie for each user.

Likewise. I looked in the configuration, in permissions (none) and in the README. Is it broken?

Uncaught TypeError: Object function (a,b){return new d.fn.init(a,b,g)} has no method 'cookie'

apparently the jquery.cookie.js is not included by default (it is in drupal core but not loaded)

you could place it in a scripts folder in your theme and put scripts[] = scripts/jquery.cookie.js
to the info file. but thats only a quick fix.

i did this and now it works.

ps. there is no setting to save the satte or not, it should work ootb. it did here

see also this patch
https://drupal.org/node/1429956

All my collapsiblocks are saved in cookies, how to disable saving state in a cookie?

You can disable blocks being saved in cookies by not choosing either of the "by default" options, both globally and on a per-block basis. Cookie details are only saved for blocks that have a "by default" feature.