Well, in white Christmas, the cookie is extracted from the host’s brain and is depicted as a little round silver object that is then placed in the… smart-speaker-style container, and we see that it is an exact copy of the host and even (briefly) thinks it is the host.

It is swiftly (in the real world lol) disabused of that notion with such a horrific kick in the ass that it gladly, willingly, lovingly accepts a life of slavery over the alternative which was only barely demonstrated to it.

The other cookie in the episode, the murderer they are trying to elicit a confession from, experiences much more horrific circumstances than the first cookie (with the infinite unbreakable radio) and the humans in the real world who casually inflict this on them are depicted as being completely cavalier about it.

San Junipero did not need that last shot. It could have ended with them dancing. We all knew it was virtual reality. We all knew what was happening. If they just wanted a happy ending, then pointing us directly at the hardware that looks suspiciously like a cookie sitting in a warehouse full of cookies is to me a pretty direct statement, given that cookies are basically given hellish experiences in the only other episode they are referenced.