It might seem like a big thing that that was even possible, but really it’s not as bad as it sounds, making this issue a lower priority in my mind. Cookies are rarely sent from the server to the client on every request and typically do require some information to be sent (like a username and password) before the Set-Cookie header is sent. So XMLHTTPRequest was really only useful for stealing cookies if the Set-Cookie header was sent on every request. Maybe there are some sites out there that do that, but it’s not that common. Either way, I’m glad MS got around to fixing it.
Meanwhile, the other browser that has implemented it of note is Firefox, and I hear rumors that they too are fixing this problem although I’m not sure on the timeframe there. So good news all around for HTTPOnly - the little non-standard cookie directive that could, and one of the few practical defenses against credential theft in the face of XSS.