There is no session in Azure Maps and unlikely to ever be any added. Azure Maps is generally less expensive than Bing Maps and has more flexible licensing. With Azure Maps licensing you only pay for what you use and this allows for the pricing to be kept lower and makes it more fair for all users. With sessions it's fairly easy for a single user to generate thousands of transactions in a single session while the average app generates less than 2 transactions in a session. So, the majority end up indirectly paying for the usage of these few apps that heavily leverage sessions. It's been an issue for years in Bing Maps.
Additionally, a Bing Maps license requires you to estimate how much you will use, and if you overestimate, your loss those transactions, and if you underestimate, there is a premium cost to correct it.