MockMvc doesn't contain cookies

I have a controller protected with HTTP Basic authentication.

I setup the app to use session cookies and it works.

However when I test the controller using MockMvc, a successful authentication does not give my any cookie.

Web configuration:

package world.pyb.spring.cookiesdemo;
import org.springframework.context.annotation.Configuration;
import org.springframework.http.HttpMethod;
import org.springframework.security.config.annotation.authentication.builders.AuthenticationManagerBuilder;
import org.springframework.security.config.annotation.web.builders.HttpSecurity;
import org.springframework.security.config.annotation.web.configuration.WebSecurityConfigurerAdapter;
import org.springframework.security.config.annotation.web.servlet.configuration.EnableWebMvcSecurity;
import org.springframework.security.config.http.SessionCreationPolicy;

@Configuration
@EnableWebMvcSecurity
public class WebSecurityConfig extends WebSecurityConfigurerAdapter {

    @Override
    protected void configure(AuthenticationManagerBuilder auth) throws Exception {
        auth.inMemoryAuthentication().withUser("admin").password("argentina").roles("USER");
    }

    @Override
    protected void configure(HttpSecurity http) throws Exception {
        //@formatter:off
        http.httpBasic()
                .and().authorizeRequests().antMatchers(HttpMethod.GET, "/hello").authenticated()
                .and().sessionManagement().sessionCreationPolicy(SessionCreationPolicy.ALWAYS);
        //@formatter:on
    }
}

Simple controller:

package world.pyb.spring.cookiesdemo;

import org.springframework.web.bind.annotation.RequestMapping;
import org.springframework.web.bind.annotation.RestController;

@RestController
public class HelloController {

    @RequestMapping("/hello")
    public String index() {
        return "Greetings from Spring Boot!";
    }

}

Simple controller test that doesn't give me the session cookie:

package world.pyb.spring.cookiesdemo;

import static org.hamcrest.Matchers.equalTo;
import static org.springframework.test.web.servlet.result.MockMvcResultMatchers.content;
import static org.springframework.test.web.servlet.result.MockMvcResultMatchers.cookie;
import static org.springframework.test.web.servlet.result.MockMvcResultMatchers.status;

import org.junit.Test;
import org.junit.runner.RunWith;
import org.springframework.beans.factory.annotation.Autowired;
import org.springframework.boot.test.autoconfigure.web.servlet.AutoConfigureMockMvc;
import org.springframework.boot.test.context.SpringBootTest;
import org.springframework.security.test.web.servlet.request.SecurityMockMvcRequestPostProcessors;
import org.springframework.test.context.junit4.SpringRunner;
import org.springframework.test.web.servlet.MockMvc;
import org.springframework.test.web.servlet.request.MockMvcRequestBuilders;
import org.springframework.test.web.servlet.result.MockMvcResultHandlers;

@RunWith(SpringRunner.class)
@SpringBootTest
@AutoConfigureMockMvc
public class HelloControllerTest {

    @Autowired
    private MockMvc mvc;

    @Test
    public void getHello() throws Exception {
        mvc.perform(MockMvcRequestBuilders.get("/hello")
            .with(SecurityMockMvcRequestPostProcessors.httpBasic("admin", "argentina"))
    )
        // prints "Cookies = []"
        .andDo(MockMvcResultHandlers.print())
        .andExpect(cookie().exists("JSESSIONID"))
        .andExpect(status().is2xxSuccessful())
        .andExpect(content().string(equalTo("Greetings from Spring Boot!")));
    }

}