Here is a good mesage on the subject from DNSOP. It explains the PPLB
loadbalancing on BGP links is not the only way the problem can arise.
PPLB on interior links can also be a problem.
The following statement from RFC 1546 is probably most significant:
It is important to remember that anycasting is a stateless service.
An internetwork has no obligation to deliver two successive packets
sent to the same anycast address to the same host.
Particularly, the second sentence.
--Dean