Never really thought of it that way. And I'd wager that the East Asians with whom you frolic haven't either. For a man of the world you surprise me with your provincial attitudes sometimes. In any case, cognac generally follows the main course. (I'm not really a fan of sweets either, although I do enjoy the occasional espresso.)
As for cheese, I guess it might be among the few dairy products that I enjoy from time to time. I also like yogurt and, infrequently, ice cream. Among those three I do eat cheese more often.
Don't get me wrong, I'm talking about a 'proper meal' (by that I mean a French meal). Of course Thai food is delicious in its own way, and doesn't involve any cheese or milk products at all, but lets not be excessive cultural relativists here..