Managing sessions is different from connecting to sessions. You can on a device create multiple sessions, this is useful to create a few rendering sessions upfront so you can then distribute the session IDs to multiple devices. This allows you to avoid the start up time for the client devices.
Connecting to a remote rendering session is limited to one per HoloLens. There is a strict 1:1 connection between Server <-> HoloLens.
There are several technical and performance reasons why you can't connect from your HoloLens to multiple rendering sessions at once.
May I ask why you want to connect to multiple rendering sessions? You can load all the models you want to observe into the same session and thus get everything rendered by a single server.