I've found one issue with LXQT_ETC_XDG_DIR variable. On my system (openSUSE) it is set to /etc/settings. So config files from lxqt-common package are installed in /etc/settings. It's ok for lxqt-panel and pcmanfm, but lxsession tries to find configs in /etc/xdg.
I think that we need install configs for lxsession in /etc/xdg for now, or change lxsession code to respect LXQT_ETC_XDG_DIR variable (but we need cmake build scripts for lxsession first).