I know post was from a while ago, but just in case you are still 
interested...

Is there any particular reason why you would want to transfer to a 
different server in the web farm?

A key thing to realise about "Server.Transfer" is that it is not causing 
a new request to be issued by the client, the way 
that "Response.Redirect" works.  Ie, with Response.Redirect tells the 
client to look somewhere else, and so the client issues another request.  
Server.Transfer doesn't tell the client anything, the web server just 
decides to transfer to control to another page.

I don't think it makes sense to expect Server.Transfer to allow you to 
transfer to another server, as you are not creating a new request, so how 
could you expect another server to pick up where you left off (and not 
suffer an awful lot of overhead by transferring stuff to the other 
server)?