Visitor groups can either use the session or cookies to store state, but in the former it only supports one session storage, namely the out of the box one, SessionStateModule. The default one is not a good match for load balanced environments, read more about the limitations in Episerver's own documenttation here. Luckily Microsoft has developed an Async one that is a better match for load balanced environments and is very easy to setup and use.

Unfortunately the built in Visitor groups does not support switching to the async version and you'll have to use cookies. You can go around it by implementing your class that registers the session start event to the Critera events, but it seems like it would be more fitting if Episerver could support it out of the box. I blogged how to setup it up here.