To add an experience : In the beginning I had serious SSL issues when connecting to sandbox for a SetExpressCheckout:
The type of error was javax.net.ssl.SSLHandshakeException Error
To bypass this error (never happened before), i added the api-3t.sandbox.paypal.com certificate to my java truststore.
After that, the setCheckout responded correctly with a valid token, but I run into the 'cookie are turned off' problem, for almost 8 hours now. None of my websites is working with the sandbox environment.
I think nothing can be done until PayPal make things clearer with some announcement.