It's pretty reasonable to assume that there is at least marginally more cost associated with the prepared cookie compared to the frozen one. The prepared cookies risk spoilage on the shelf, the prepared cookies require associates to rotate them in and out of ovens and pack them onto cooling racks then into trays, the prepared cookies have to head out to the floor, etc.

It's easy to assume that for the frozen simply requires packing once, freezing, then pulling from the freezer for sale, and that they have a significantly longer shelf life with a significantly lower risk of shrink. In addition frozen cookies can become prepared cookies and sold, while prepared cookies can only be sold as prepared.

Couldn't say that the difference is like $.50/cookie, but then again Costco is famous on reddit for paying its employees "very well" so the labor cost for baking trays of cookies could legitimately be significantly higher than for packing frozen cookies- though it's also possible that either of or both of these things is done at the distributor?

The way I also read the comment you're replying to is that the bakery is a loss leader, not that cookies area loss leader. It's conceivable that cookies perform better than any other item, they just belong to a department that performs worse than any other department.