CAI is session sticky - once a brwoser connects to a server the browser must always go back to the same server. Inside the server then the corresponding CAI session (internally holding subsession and adapters) is kept.
Most (all?) application servers use the JSessionid for routing a request to its correct server. Though the CAI session management does not build on http sessions, you can of course use them. There is a default way of forcing CAI to internally create http sessions, by switching attribute…
Hope this helps…