Using Workflow Conductor in SharePoint environments with Web gardens enabled requires that session state is also enabled. In SharePoint Server 2010 environments, SharePoint Server ASP.NET Session State Service is activated using a simple PowerShell command. For more information, see the following MSDN blog post on enabling session state for SharePoint Server:

http://blogs.msdn.com/b/markarend/archive/2010/05/27/using-session-state-in-sharepoint-2010.aspx