I wanted to use caching.
I have configured everything and it all looks ok.
The only thing not working ok is the cookie law plugin - http://wordpress.org/plugins/eu-cookie-law/.
The problem is that when caching is enabled the cookie law plugin always appears even if the button is clicked. Looks like the plugin does not remember that it has been confirmed.
As soon as I disable caching it works again.
Can someone please help me out here?