IMO, there should be at most one "sessions" file per user.
OK, NoMachine uses one file per session, but x2goclient.exe will use one file for all the sessions? That would make it more difficult to have shared "corporate defautl" sessions together with user configurable sessions. If you'd need to update/add/remove default sessions you'd have to parse and edit the sessions file. If you have one file for each session, it's trivial to update/add/remove default session files without risking the user's personal sessions.
Either way, storing the session config(s) in files is preferable to storing it in the registry.
Cheers, Daniel