The capability to return to a session as indicated in the tip 'Back to session' By User, Sidhyesh Bhatte no longer...
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works in version 4.6. This is documented in OSS note 188303. The stated reason is that too much information is stored in the controls of the frontend and so it no longer works properly.
For earlier versions, in addition to using the USER/COPY SESSION button when logging on, the function is also available via transaction SM04.