I have friends who might bring something tasty, say "Look at what I made you!" and we'd both enjoy it together. Its understood that its not really a gift, more like a treat for both (or all) of us. It could be just a difference in personalities/the way she expresses herself. I'd just mentally go "Okay, she says 'Look what I brought you' but she really means 'I was bumbling around in the kitchen and brought some cookies for us all to eat during my visit.'"
You might have a word with her though, since she's making your little one think that the cookies are specifically for her. Maybe say "Hey, she loves your cookies, but when you say that it makes her think they are a gift meant just for her and she gets hurt when she sees you taking them...could you maybe say it differently so she knows?" That would have the added benefit of opening their eyes to how much they are really eating if they really are being oblivious.