W3 Total Cache with FB Connect

I have FB Connect installed on a website with W3 Cache. When I turn on Page Caching, FB Connect does not work. I add this cookie reject (http://screencast.com/t/2Y99lCavp), yet when I login to FB Connect it does not work and I have to hit refresh for it to stick (http://screencast.com/t/VmYlXcinGyX). This is a problem.

Please advise what I am doing wrong.