By default, NAT session are not synchronized. However, the FGSP can synchronize NAT session if you enter the following :
config system ha
set session-pickup enable
set session-pickup-nat enable
However, if you want NAT sessions to resume after a failover you should not configure NAT to use the destination interface IP address since the FGSP FortiGates have different IP addresses. With this configuration, after a failover all sessions that include the IP addresses of interfaces on the failed FortiGate will have nowhere to go since the IP addresses of the failed FortiGate will no longer be on the network.
Instead, in an FGSP configuration, if you want NAT sessions to failover you should use IP pools with the type set to overload (which is the default IP pool type). For example:
config firewall ippool
set type overload
set startip 172.20.120.10
set endip 172.20.120.20
Then when you configure NAT firewall policies, turn on NAT and select to use dynamic IP pool and select the IP Pool that you added. Configuration synchronization should add the same IP pools and firewall policies to all FortiGates in the cluster. If configuration synchronization is not enabled you must add the same IP pools and policies to all of the FortiGates in the cluster.