well first of all, why do people so often think that they found a bug in PHP ?? I'm doing it for 3 months now and haven't found any bug, but a lot of errors done by me...
Anyway to your problem... I have done only one page using session so far, but i used on every page I wanted to access the session data, the session_start(); function ... That might be the problem, because I think you use cookies to transfer the session_id (you don't include it in the header...) The session_id then comes out of the cookie, that's the reason why you have it... but thats only speculation, because I used the URL to get the session_id from one page to another ...
hope that helps
cya Rob