I've tried to figure this one out for a while now, but I give up.
I have this for a setup:

$module_cacherouter_enabled = TRUE;
$module_cacherouter_default = TRUE;
$module_cacherouter_inc = './sites/all/modules/cacherouter/cacherouter.inc';
if ( file_exists($module_cacherouter_inc) && $module_cacherouter_enabled == TRUE ) {
  if ( $module_cacherouter_default == TRUE) {
      $module_cacherouter_domain = 'default';
  } else {
      $module_cacherouter_domain = $_SERVER['SERVER_NAME'];
  }
  $conf['cache_inc'] = $module_cacherouter_inc;
  $conf['cacherouter'] = array(
    'default' => array(
      'engine' => 'file',
      'servers' => array(),
      'shared' => TRUE,
      'prefix' => '',
      'path' => 'sites/default/files/filecache',
      'static' => FALSE,
      'fast_cache' => FALSE,
    ),
  );
}

 ini_set('session.cookie_lifetime', 0);
 $conf['cacherouter_cookie'] = 'DRUPAL_UID';

I do use domain level cookies, so I set that as the readme suggests. I made the filecache directory, I have the permissions set exactly as the other Drupal directories, and I even set it to 777. The site is not live, but I've put it live, and browsed around as a nobody using another browser. Still there are no files in the filecache directory. I'm getting no errors in any logs. Any ideas?