Workaround for problem similar to bug #8100
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11.3-STABLE/2.4.5-RELEASE-p1 (amd64) - I had a similar situation to the one described here (https://redmine.pfsense.org/issues/8100), with the same setup, but states were initially deleted with connections established through both nodes.
I had an OpenVPN server active and listening on a Virtual IP on the same interface through which the sessions related to the deleted states were active. I stopped the OpenVPN server before enter Persistent CARP Maintenance Mode and now everything is working properly.