Session expire after we edit web.config

Changing the web.config will recycle your entire application causing all sessions to be destroyed, and causing the site to take a while to start up again after the next request. You shouldn't be changing the web.config anyway, if you are changing connection strings then your site probably isn't even working so why do you care that sessions are expired? If you're changing the web.config as part of your code architecture then that is a very bad idea indeed.

Sessions stored using the State Server will survive a web.config update but as above, if updating the web.config is a problem for you then there is something very wrong with your architecture.