Chapter 9 High Availability for FortiOS 5.0 : HA and failover protection : Session failover (session pick-up) : Explicit web proxy, WCCP, and WAN optimization session failover
  
Explicit web proxy, WCCP, and WAN optimization session failover
Similar to UTM sessions, the explicit web proxy, WCCP and WAN optimization features all require the FortiGate unit to maintain very large amounts of internal state information for each session. This information is not maintained and these sessions do not resume after a failover.