You can add effects (like the cookie cutter ) in three different ways: to an event, to an track and to the project. It looks that you add your effects to the whole track (or even to the whole project).
You should add your effects to the event FX button on the events, not to the track FX button on the track header.
In case your whole footage consists of 1 (or more) very long events, you can split the event in shorter pieces with the S button before you add the effect. In that way, you can determine which part of your footage gets the effect.
Theo