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Login problems on multisite installation with different domains

I have a subdomain multisite installation in site.com, with subsites such as sub1.site.com, sub2.site.com etc. I needed to transfer one of these sites to an own domain, sub1.com.

So I changed the domain value from sub1.site.com to sub1.com on the network admin panel and at first it seemed to be working. However, I was not able to log in to the admin panel on the transferred site at sub1.com/wp-login.php. No error messages, but returned on the same page every time.

I figured this was a cookie problem, and I changed the COOKIE_DOMAIN value to false in wp-config.php and it started working again.

However, later some users using other subdomain sites reported they have had problems logging in, but managed to do so eventually by trying many, many times.

I was wondering if this was a one time problem because of the changed cookie settings, or is this a real problem that I should worry about? Is it OK to leave the COOKIE_DOMAIN value to false? I did try installing the MU Domain Mapping plugin, but didn’t manage to set it up right. Can this be done without it?