Thank you both for the support on this issue. In fact I tested again with a Load Balancer in front of the Cluster and now the replication works as expected.
The explanation above clarified my problem a lot, I think the server's cluster tutorial and / or documentation should include a note about this, even if it is obvious I think is worth mentioning it, specially for Cluster newbies like me:
"In order for session replication to work in a cluster with two or more physical servers, the cluster should always be fronted by a load balancer."
Thanks.
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