I confirm that, if your extra information is required by the authentication process, then you cannot use sendMessage.

In general, we don't suggest using cookies for authentication purposes, because they are not under the full control of the application.
As an alternative, any extra information could, for instance, be passed by decorating the user name in such a way that notifyUser can identify and separate the various parts.

That said, you can pass information by setting cookies. The httpHeaders parameter in notifyUser will include a "cookie" entry, whose value will include your cookie together with other ones (Lightstreamer may set its own cookies).
Note that, if you want that cookies set by a page supplied by your Web Server are forwarded to Lightstreamer Server, you have to enlarge their domain restrictions.