Tested with varnish on, merchandising enabled, and cookie set and full page caching on.
When you go to page 2, and refresh the page. You see the results of page 1. But ?page=2 is still in the url. This is also the case for the sorting and product_list_mode. This also happens if you visit an product and use the back button.
Same goes for filters. Filter on for example color black, 5 results. And refreshing the page shows the filter still on, but all results. This also happens if you visit an product and use the back button.
BREAKING CHANGE: Personal merchandising works with Varnish now.