Following are the things to remember so that SQLSERVER Mode works properly :-
1- SQLSERVER mode session data is stored in a different process so you must
ensure that your objects are serializable.
2- IIS metabase (\LM\W3SVC\2) must be indentical across all servers in that
farm.
By default Session objects are stored in “Tempdb” , you can configure it store outside “TempDB” by running microsoft provided SQL script.