Server keys lost after restart (which invalidates existing cookies) could be an issue for servers with large number of clients. A typical server might be able to handle 500 requests per second, so for the default minpoll of 64 seconds that would be about 32k clients if the requests were spread evenly. A warning message printed by chronyd if configured as an NTS server without ntsdumpdir would make sense to me.
This issue will be fixed by rebase to chrony-4.4 (bug #2231078), which logs a warning message when ntsdumpdir is missing in the config.