We also agree on the idea that it's important to help kids cope with the unfairness life throws their way, so yes, I'd be proactively talking to my child about it.
But I'd never, ever say to my child, "We don't cry over cookies." That's really dismissive.
I used to get upset when my MIL would say, "You're crying over nothing." Ticked me off. Way to belittle my kid's emotions! I'd interrupt and contradict, "No, Grandma, she's not crying over nothing. She's crying over being disappointed. That's perfectly understandable." And then I'd say to my child, "I know you are disappointed, I get it. That's really frustrating. But this big teary scene is really a bigger reaction than is needed; us grownups want you to save your tears for when it's a bigger deal. Please, can you get your tears under control?" Very similar message, but not dismissive in approach.
Because yes, kids need to learn scale, and balance, and appropriate reactions. But telling them "you are wrong to be this upset" in a dismissive way.