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When I try to record a macro with File/Load Session in the sequence it does not work. If this is not the first operation in the macro, the operations before the Load Session seem to work, but dies at the Load Session command. I have tried recording both using the GUI to select the session file, and typing the full path to the session file into the Open window that comes up when you press Load Session. Is there a reason you cannot make a macro that includes Load Session?
Macros only record actions as Scintilla sees them, with the exception of find/replace, which was a specifically needed extension. LYou can cook up a macro in shortcuts.xml to do what you want, but it won't work with ordinary recording.