IE11 does not send session cookie when a link targeting a new tab is clicked (on first request)

This is an active bug according to microsoft. There is apparently no server-side way to fix this.

Link to bug report

Not a solution, but a clue: We noticed similar behavior and tracked it down to requests to root/browserconfig.xml causing user to become unauthenticated. Server sent a new session cookie because Windows was not sending the existing one. Subsequent requests then sent the new session cookie value. We changed our server to look for this request and not set response cookies.