Always works for me, but I always use Chrome. I've tried other browsers with mixed success, but Chrome seems to work every time. Usually get the 'thanks for shopping' email within a few days, and the points into the account within a few months.
Given Chrome is provided for 'free' by one of the world's largest advertising providers, whose primary objective is data harvesting to refine and target their ads, I'm not surprised that Chrome has managed to successfully track 100% of my purchases, ha!
Of course, never click through and shop in a browser's 'private' mode as it blocks the tracking. Even in Chrome, there's some tracking that you can manually disable, but if you do that it probably won't track your shopping purchases. (And, if you leave the window and come back, or search for something via an outside search engine, or forget the password to your account with the retailer and reset it via email - re-entering the website via the email link - you may invalidate the tracking.
Sometimes if I'm not sure, or if I've had to reset my password etc, I'll click through a second time just to be sure. Has helped me earn 1000s of extra points since I've had the ANZ card.