Go to edit / rendersettings / spotlight cookie: set some texture

note: it doesn't update in view..until you restart unity, or maybe switch between rendering modes..

and if you managed to get it to update and then remove the cookie, the lights still show the cookie, until unity is restarted..

The documentation on this indicates that the cookie should be applied immediately to all existing and future spotlights.

Not a regression - same in 3.5.