Hi Michael,
HMAC is a signing algorithm. It doesn't store anything on the server at all. The information being sent is hashed/signed with a SECRET_KEY, and the info+signature are included in the link (but not the raw SECRET_KEY). This way, when the user clicks on the link, the server can re-hash the info with the SECRET_KEY, and if they match, the server can trust that the message originated from another trusted server (because the signature wouldn't match if the wrong SECRET_KEY was used in the hash of the info).
So in conclusion, this feature will work with a load balanced server cluster without any issues so long as they share the same settings+user database.
Hope that helps,
Sam