Yes, can see the save path here:
Easy Digital Downloads said this:
It's usually about how your server layer and caching identify what is a new session and what is a returning session. It appears as though your PHP configuration is using 'files' for session storage, but if you have multiple web servers in the platform this could prove to be problematic, and using a more centralized source like memcache (also appears to be available, according to the link you provided me with).
Our site is multi-site. Not clear to me what the actual issue is. Seems that PHP sessions are being saved, but they say it's not enabled. Then they suggest using memcache. This is getting utterly confusing. Do I have an impossible task... multi-site plus e-commerce??