I guess better late than never...

So we've got a failover IP, and a nice trick to be able to get the same WAN IP on both our routers. If you do stateless packet filtering, this is actually enough, and your redundant setup is already finished. However, if you do stateful packet filtering, the moment the failover IP moves to the backup router, your connection will be dropped because it doesn't have any knowledge about it in its connection tracking table.