https://kb.vmware.com/s/article/90398
Scroll down to the Cause and Resolution sections where you will see:
Cause
This is caused when a user is trying to connect to the connection server with an expired session cookie.
Resolution
These alerts are harmless and can be ignored.
I think the "session cookie" refers to saved SSO credentials on the Horizon Client that are discarded after the length of time specified in the Servers -> Global Settings -> Discard SSO Credentials setting. If a user disconnects from their desktop and tries to reconnect to the pool after the SSO credential expiration period has elapsed, it will kick off this alert on the broker or UAG. If I am wrong about this, hopefully someone will chime in.
