Additional Configuration to disable anonymous session cookies? I am running a clean install of Pressflow 6.28. I have set the following configurations:

Cache Mode: Normal;
Min Cache Lifetime: 5 minutes;
Page Cache Max Age: 1 day;

I have installed no contributed modules and have disabled all optional modules that ship with Pressflow.

I am seeing inconsistent behavior with setting session cookies with anonymous users. Sometimes a session is not set, but most of the time it is. When I login and logout, session remains set. If session is not being set and I run 'drush cc all' it begins to be set. I am wondering if there is perhaps some additional configuration I may be missing.
Make sure the $cookie_domain is set properly in settings.php, often if it's not set to the correct domain, particularly in proxy situations, you'll see inconsistent login behaviour.