Connections vs sessions

For HTTP:

HTTP Is considered to be a stateless protocol in that the client and server do not store state data in any way. A request is sent and a response received; this ‘transaction’ has no impact on future ones, nor do earlier ones affect this one. Cookies are used to provide a form of state when required.

Multiple transactions between the same client and server, completed over the same established TCP connection are considered a session. A session may also comprise of multiple TCP connections (again between the same client and server) to improve performance. Sessions rely on HTTP Persistent Connections.

Session persistence is only required where a single session uses multiple TCP connections - we need to ensure the second, third... connection in that session is sent to the same real server. This ensures that any state information stored only on that server (outside of HTTP), related to the session the connections form a part of, is valid. If those connections were Load Balanced to different servers the lack of the session state context (and loss of server affinity) will most likely result in application errors.