Microsoft.AspNetCore.Authentication.WsFederation.WsFederationHandler - .AspNetCore.Correlation.WsFederation cookie not found

I have a .NET Core 3.1 MVC app running as Azure app service. It is a WS-Federation client of ADFS 4.0

The app is running fine as far as I can tell, but logs are showing this error several times every hour.

WARN Microsoft.AspNetCore.Authentication.WsFederation.WsFederationHandler - '.AspNetCore.Correlation.WsFederation.7uN5rakM-M-9CQtd4R-mS_Z0Srw2yDfCEXZCLTGdJoU' cookie not found.
2020-09-01 20:49:15,961 [25] ERROR Microsoft.AspNetCore.Diagnostics.ExceptionHandlerMiddleware - An unhandled exception has occurred while executing the request.
System.Exception: An error was encountered while handling the remote login.
 ---> System.Exception: Correlation failed.
   --- End of inner exception stack trace ---
   at Microsoft.AspNetCore.Authentication.RemoteAuthenticationHandler`1.HandleRequestAsync()
   at Microsoft.AspNetCore.Authentication.AuthenticationMiddleware.Invoke(HttpContext context)
   at Microsoft.AspNetCore.Diagnostics.ExceptionHandlerMiddleware.<Invoke>g__Awaited|6_0(ExceptionHandlerMiddleware middleware, HttpContext context, Task task)

Startup.cs

public void ConfigureServices(IServiceCollection services)
{
    services.AddAuthentication(sharedOptions =>
    {
        sharedOptions.DefaultScheme = CookieAuthenticationDefaults.AuthenticationScheme;
        sharedOptions.DefaultChallengeScheme = WsFederationDefaults.AuthenticationScheme;
    })
    .AddWsFederation(options =>
    {
        options.Wtrealm = Configuration["Federation:idaWtrealm"];
        options.MetadataAddress = Configuration["Federation:idaADFSMetadata"];
    })
    .AddCookie();

    Microsoft.IdentityModel.Logging.IdentityModelEventSource.ShowPII = true;

    services.AddControllersWithViews(options =>
    {
        var policy = new AuthorizationPolicyBuilder()
            .RequireAuthenticatedUser()
            .Build();
        options.Filters.Add(new AuthorizeFilter(policy));
    });

    services.AddRazorPages();
    services.AddRouting(options => options.LowercaseUrls = true);
    services.AddHttpContextAccessor();

    // Add functionality to inject IOptions<T>
    services.AddOptions();

    // Add our Config object so it can be injected
    services.Configure<EndpointOptions>(Configuration.GetSection("Endpoints"));
}
    public void Configure(IApplicationBuilder app, IWebHostEnvironment env)
    {

        if (env.IsDevelopment())
        {
            app.UseDeveloperExceptionPage();
        }
        else
        {
            app.UseExceptionHandler("/home/error");
        }

        app.UseHttpsRedirection();
        app.UseStaticFiles();

        app.UseRouting();

        app.UseAuthentication();
        app.UseAuthorization();

        app.UseEndpoints(endpoints =>
        {
            endpoints.MapControllerRoute(
                name: "default",
                pattern: "{controller=Home}/{action=Index}");
            endpoints.MapRazorPages();
        });
    }