A virtual delivery appliance may include a memory and a processor configured to cooperate with the memory to connect client computing devices with virtual computing sessions provided by a host computing device(s) based upon respective connection leases each including an ordered list of virtual delivery appliances, with at least some of the client computing devices having different ordered lists of virtual delivery appliances. Each client computing device may be configured to request a new session from the virtual delivery appliances in the ordered list in descending order until receiving a connection with a new virtual computing session. The processor may be further configured to re-direct new session requests received from the client computing devices to lower virtual delivery appliances in the ordered list when existing virtual computing sessions for the client computing devices are already active with the host computing device(s) associated with the lower virtual delivery appliances.