And if questionability is correlated with the thing you are trying to measure, you've just added bias. For example, consider trying to measure engagement or something correlated with it. Are users who connect to your site from 3 different devices more or less engaged than normal? Great - you just threw out your most engaged users.

Similarly, you can't just use a session cookie to test per-session behavior. This introduces correlations between sessions, which violates the IID assumption in all the standard statistical tests.

https://www.chrisstucchio.com/blog/2015/no_free_samples.html

You can fix this if you want by using the weakly mixing central limit theorem or just explicitly putting the mixing into a Bayesian analysis. But that's probably a lot trickier than just using a long term cookie.