I’ve noticed the same issue on a WPEngine hosted multisite. It definitely seems to be a caching issue, but I believe it’s a browser cache related issue and not related to WPEngine’s cache. I say this because I have had it work in Chrome before, but after working for a certain period of time it would stop working. The same happened with Firefox. When I first brought up Firefox, it worked just fine, then after a while it stopped. I eventually opened up an private window in Firefox and it was working just fine.
Perhaps the solution would involve blocking browsers from caching data associated with User Switching and finding a way to confirm that the plugin’s cookies do in fact get sent. Unfortunately that’s not my forte.
Aside from that issue, great plugin!