I have the same issue.
It seems that if "Prevent Spider Session..." option was set to false and the spider has once indexed the site while it was false, they revisit only using already-indexed pages.
Here is my suspicion:
Leads that came through google's search results that bears zenid ends up not being able to log-in with their own user id, because it bears zenid.
It is a suspicion because I'm not 100% sure, but customers sometimes call-in to first complain about not being able to login, then takes up about 10~20 minutes to order things for them. It's a waste of time, but I still get the order. But what about those who just exit? I'm loosing business here.
Hence, suppose my suspicion is at least part correct, the cause for this issue (cannot call it a problem because it is the way it's supposed to work using sessions to identify one from another), and a workaround for those who found the page through indexed pages that bear zenid because we don't have much control over SE once they've indexed, unless one is dare to request SE to remove all indexed pages that bear zenid and request to re-index everything with "Prevent Spider Session.." option to true.
SK.