Yes, $SESSION is a superglobal, but unless session_start() is called, you cannot access $SESSION variable. If you would like to avoid session name and id to be embeded in the URL, you can turn off session.trans_id in PHP.INI (from PHP 4.3.0 up, it is off by default).
Even if search engine crawls your site and save a URL that has a session name and ID, I don't think it doesn't matter as long as your script checks required $SESSION variable and depends on the condition, your script can redirect to a right place. (for example, if you have a login protected page, you can check $SESSION['login'] and if it is not set or not set to true, then redirect to login page. etc.)