Here's the report from Acquia's testing (sorry the formatting is a little weird):

PS I've since rewritten this menu by hand to allow for load testing to proceed, so the question is more academic as of now - but I think you'd want to address it.

SESSION cookies being created for anonymous users

SESSION cookies cause requests to bypass the Varnish cache. The following anonymous sessions were identified:

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date_time: 2018-08-14:14:26
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date_time: 2018-08-12:19:38