I have WP Rocket installed

If you have WP Rocket installed, you need to go to "Advanced Rules" and put the following entries under "Never Cache Cookies" section.

utm_campaign
utm_source
utm_term
utm_medium
utm_content
gclid
first_utm_campaign
first_utm_source
first_utm_term
first_utm_medium
first_utm_content
handl_original_ref
handl_landing_page
handl_ip
handl_ref
handl_url
organic_source
gaclientid

After this is implemented, make sure you start with a clean cache (incognito preferred) or hard refresh your browser and test again. It should work.