I'm posting a generic version of the question and answer here for the benefit of those who pose the same question via Google.
Do Integrity or Scrutiny set or maintain cookies?
Cookies are disabled by default because it's possible for pages to be deleted from the site if the user has been logged into a CMS which has controls which appear as links. Cookies are system-wide, Scrutiny will pick up the authentication from the cookies and in testing a link which is a delete button effectively operates that button.
If you're sure that this won't happen then here's how you enable cookies for Scrutiny crawls:
In your settings tab, press Advanced and then tick 'Attempt to authenticate'. Leave the username and password fields blank and make sure that if you go to the site using Safari that you're logged out (ie seeing the site as a public user).
Then make sure that your Safari is seeing the site in the language that you want to check (ie so Safari has that setting in its cookies) and Scrutiny should pick up and send that Cookie.
Integrity (being free) offers link checking with fewer advanced options, and doesn't allow
authentication or handle cookies.