Hello,
We have the same issue. Our setup is very similar, 4 Gateways in an ASG sitting behind a GWLB. This behaviour is due to the fact that the firewalls do not share session details, we confirmed by looking at our on-prem devices that are setup in HA pairs.
Our first instinct was to ask the App team to move off FTP, but they said that would take a while and it also involves infrastructure changes in the DC. Meanwhile the end customer is suffering is not getting their files...
Our solution was to implement this sk33760
The app transfers 2000 files give or take a few. So we went up to allowing 500 pending connections and the problem is gone. We have not observed any performance issues.
The setting applies to the whole domain and cannot be applied to a set of firewalls.
I hope this helps.