Chris,
If I understand you correctly, you're going to implement cookie persistence on the first VS yes? If so, I'd agree with that.
Ideally you need to understand how the proxies talk to the Spotfire servers when handling multiple client connections, for all you know the proxies will 'collapse' multiple client connections into a single one (a bit like OneConnect) and if so, you wouldn't need persistence between the proxies and Spotfire servers. It's a similar story for the Spotfire to the third set of servers, only in that case it might be single, short lived connections opened and closed per request or one or more longer lived connections, no persistence required in the first case, definitely required in the second.