[Session Configuration] add clarifying notes on session save handler proxies

                                       
| Q             | A                   |
| ---           | ---                 |
| Doc fix?      | yes                 |
| New docs?     | no                  |
| Applies to    | 2.3+                |
| Fixed tickets | #2889               |
| License       | CC-ASA 3.0 Unported |
                                       

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