This setting used to be stored in ~/.dmrc from where it could be read by any machine that the user's home directory was available on. Some developers decided it would better if this per-user setting was not stored in the user's home directory anymore but elsewhere in the file system. As a result this setting is now both per-user and per-machine. If you wish to use a session other than the default GNOME Classic you will need to select it on each machine that you log in to.