Can't they access cookie's memories directly or it was done for getting confession in White Christmas?

Accessing cookies memory was best thing to do.

I think one of these may be factors for not doing that

1. This may be happening in a future where these memories were not acceptable in court of law.

2. The information which is present in brain may not be in the video form or any easily understandable form which most of the Law Men prefer. It may be in the form of data which needs to be processed and may be a costly affair. Getting the confession from the organisation may have be cheaper.

3. Getting Confession part was more drama driven, was useful for the TV show.

Or it was for getting confession due to legalities?

I initially thought so too; but I think it's simpler than that: they are able to transfer a whole consciousness, but are not able to edit it (in a way that it still keeps working).

Because if they were capable of reading/editing cookies, then John Hamm's career shouldn't exist in the first place. His job was specifically to convince cookies to do their job, or else he'd punish them.
If the company was able to edit a cookie, why not simply edit that rich woman's cookie so that she'd be obedient and would not require to be coerced by John Hamm?

Similarly, Daly is incapable of changing the people he imprisons aboard the USS Callister. Even when he gets so upset that they do not adhere to Space Fleet regulations, he stomps his feet, as opposed to simply changing their cookie to behave as Daly wants them to.