Chapter 9 High Availability for FortiOS 5.0 : HA and failover protection : Session failover (session pick-up) : UDP, ICMP, multicast and broadcast packet session failover
  
UDP, ICMP, multicast and broadcast packet session failover
By default, even with session pickup enabled, the FGCP does not maintain a session table for UDP, ICMP, multicast, or broadcast packets. So the cluster does not specifically support failover of these packets.
Some UDP traffic can continue to flow through the cluster after a failover. This can happen if, after the failover, a UDP packet that is part of an already established communication stream matches a security policy. Then a new session will be created and traffic will flow. So after a short interruption, UDP sessions can appear to have failed over. However, this may not be reliable for the following reasons:
UDP packets in the direction of the security policy must be received before reply packets can be accepted. For example, if a port1 -> port2 policy accepts UDP packets, UDP packets received at port2 destined for the network connected to port1 will not be accepted until the policy accepts UDP packets at port1 that are destined for the network connected to port2. So, if a user connects from an internal network to the Internet and starts receiving UDP packets from the Internet (for example streaming media), after a failover the user will not receive any more UDP packets until the user re-connects to the Internet site.
UDP sessions accepted by NAT policies will not resume after a failover because NAT will usually give the new session a different source port. So only traffic for UDP protocols that can handle the source port changing during a session will continue to flow.
You can however, enable session pickup for UDP and ICMP packets by enabling session pickup for TCP sessions and then enabling session pickup for connectionless sessions:
config system ha
set session-pickup enable
set session-pickup-connectionless enable
end
This configuration causes the cluster units to synchronize UDP and ICMP session tables and if a failover occurs UDP and ICMP sessions are maintained.