The problem is the URL that your calls are generating looks something like this:
This will not work and is one of the reasons I advised against using a VS service reference. You can't pass a filter clause to the Sessions collection like that. What you need to do is use a URL like Cara listed in her examples where it ends with /Sessions(guid'...')?...
I am not sure if you can make the generated client library issue these sorts of calls and if you can, I don't know how to do it. I recommend using the WebAPI client libraries (which you can get via NuGet) and their HttpClient class (not the one that ships with the framework) to make the calls and build URLs directly.