I don't think you're missing anything, we've run into the same scenario with trying to pull Visit data for particular events. To get around it we've created a Session ID attribute at the visit level and set it to the utag_main_ses_id event attribute. You still have to be careful because utag_main_ses_id is not unique (it's just a timestamp) so when joining from Events to Visits make sure to join both on Visitor ID and Session ID. Its not perfect but has been working for us. Would love to hear any other solutions others have come up with.
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