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That site seems to have configured their installation to set Strict same-site cookies, which will mean your cookies aren't visible to the server for cross-site requests like this. Making a new request from the site (ie. navigation to a page) will allow the server to see the cookies, while reloads are still considered cross-site requests. Our session keep-alive behavior sends a same-site request in the background which detects this situation and displays this message.

They can set their cookie same-site configuration to Lax (or remove it entirely to use the browser default, generally Lax, which is the stock XF behavior) to mitigate this.