Update web-setup.md with debug URL details

Added information about debug URL parameter and cookie behavior.

Author: maxmilhan

src/connections/auto-instrumentation/web-setup.md

@@ -219,6 +219,7 @@ User activity is not collected by default after SDK installation. To collect act
 ```
 https://my-website.com?segment_signals_debug=true
 ```
+Loading the site with this debug URL parameter saves a cookie onto that device that sends activities and expires in 24 hours. The URL parameter does not need to be present on each page load.
 
 You can _turn off debugging_ by doing: