Using "Delete cookies and site data when Firefox is closed" to clear the cookies only removes cookies that do not have a cookie allow exception. You can't clear the disk cache for only specific domains. Clearing the cache is all or nothing, so it doesn't make sense to have it under that section.

Using "Clear history when Firefox closes" to clear data like cache or cookies removes the complete disk cache an removes all cookies regardless of an allow exception, so using that feature removes everything including data you keep via "Delete cookies and site data when Firefox is closed". The Site Preferences include exceptions like exceptions you have created for cookies.

Thanks Cor-el. I have read this answer many times and found it hard to understand. My fault though, not yours!

I would say that I definitely want the entire cache cleaned every time with no exceptions.

If you want to clear the disk cache then you need to use "Clear history when Firefox closes" to clear the cache, but not the cookies as this removes all the cookies. You need to use "Delete cookies and site data when Firefox is closed" to only clear cookies that do not have a cookie allow exception. Unfortunately because this is done in two places this is extra work.

Thanks Cor-El. I find it strange that the two options are in two different places. But perhaps that's just me.