That's because the session isn't stored in the database by default in Mendix 2.5. This will improve the performance of login calls and keep-a-live calls (especially relevant for huge amounts of concurrent users).
You can configure persistent sessions by setting the
persistentSessions configuration option to
See the Mendix 2.5 deployment on Windows how-to for details about setting these configuration options.
Well it works with:
PersistentSessions = true
with a capital P :-)