It seems a design flaw to require sticky sessions with Blazor WASM.
sticky session are implemented with a cookie by the load balancer. on a single server web farm there is no impact, as the load balancer always picks the same server for each request, so you can not detect if sticky sessions are honored.
if you want to test sticky session on one server, you install IIS and ARR. install your blazor app twice using two different ports (create a new site for each). config the ARR url to use the two sites.