I have now narrowed down the issue and after deactivating ALL plugins and tested 3 different theme versions (woodmart) i still get the notices but now they look like this:

[01-Oct-2019 16:51:55 UTC] PHP Notice: wp_woocommerce_session_59f9adf68b3deeb3d144141c2fae7308 cookie cannot be set – headers already sent by /wp-includes/class.wp-scripts.php on line 209 in /wp-content/plugins/woocommerce/includes/wc-core-functions.php on line 887

The above notice appear in v4.0.4 and 4.1.0 but not in v3.8.2 or any standard themes.

Brgds
Rune