The .net SessionState provider uses the IIS site ID as part of the key used to access a session when working in out of process mode. If you are running a site in a webfarm these ID's need to be kept in sync with each other otherwise as requests bounce around the servers a different session will be accessed.

It's probably not a big issue as more complex set up's will probably be using custom set up scripts but I think it'd be a very easy feature to add.