Yes, it sets cookies in the following two cases.
Visitor ID Cookie
A cookie with the name "fpfid" is used to identify uniquely each visitor. This cookie will only be stored in the visitor's browser if any of the following requirements are met:
- The Analytics option is enabled
- The Opening Behavior > Opening Behavior > Show Frequency option is set to something other than "Every Time Page Loads"
- The Viewed Another Popup Publishing Rule is enabled
Close Event Cookie
A cookie in the form firebox_ID is set every time a popup is closed. Typically is used by the plugin to decide if a popup should stay hidden. This affects popups that have the Behavior > Closing Behavior > "If the user closes the popup" option enabled.
No personal information such as IP address, User-Agent string, or the WordPress User ID is stored in any cookie case.