Problem solved. The solution was include the statements:
fastcgi_pass_header Cookie;
fastcgi_ignore_headers Cache-Control Expires Set-Cookie;
I added the configuration to log the cache request result (HIT or MISS):
log_format cache '$remote_addr - $remote_user [$time_local] "$request" '
'$status $upstream_cache_status $body_bytes_sent "$http_referer" '
'"$http_user_agent" "$http_x_forwarded_for"';
access_log logs/access.log cache;
And now you can see in the log:
10.35.9.129 - - [02/Nov/2011:12:41:00 -0400] "GET /administration.php/school HTTP/1.1" 200 HIT 2712 "http://10.128.50.101/administration.php/school" "Mozilla/5.0 (Windows NT 5.1; rv:7.0) Gecko/20100101 Firefox/7.0" "-"