When trying to compile QuantLib and QuantLibXL with QL_ENABLE_SESSIONS enabled the compiler complains about missing ohxl/conversions.hpp.
I tried to replace it with other file names which seemed relevant but nothing helped so far. If this is not worth fixing I suggest you remove information on session support from QuantLibXL documentation.
If this is still happening, may you open an issue at https://github.com/eehlers/QuantLibXL?