This is expected AFAIK. The redirect only happens at the initial connection attempt, when the master redirects the connection to a slave (or itself) based on the load. Once this is done, the connection is essentially between the client and that slave ASA alone. When the disconnect of the ASA happens, the AnyConnect only tries to reconnect to the last connected ASA.
There is no way to config sync among load balanced ASA's. Also you cannot have Active/Standby pair as also load balanced nodes, they would only act as one of the nodes. So you can have 2 pairs of Active/Standby devices which results in 2 nodes in Load balancing.