This syslog message means that the FW does not have an entry in its connection table, so either it did not see the initial SYN from the client (e.g. because of asymmetric routing) or the dropped packet arrived after the connection was torn down (which is unlikely in your case, if it is a SYN+ACK).
Please check if the traffic from client to server follows the same path as the return traffic.
You can also do a packet capture on the FW itself to verify if it gets the SYN or not (use the "capture" command with an access-list, let me know if you need help with that).
