Thank you for your message.
I cannot seem to reproduce your issue and I was wondering thether your favourites variable is not null in the first place, can you please check it? There is no setting in web.config which you would need to additionaly set in order to get this working I know about.
I have used following code which return the correct "testing session" value out of my session.
SessionHelper.SetValue("testsession", "testing session");
string val = SessionHelper.GetValue("testsession").ToString();
Let me know how this code works and if you have further questions.