The session state will be available only if you add the new Ajax.AjaxRequireSessionStateAttribute. The last release did add the session state for all methods. See the new examples at http://ajax.schwarz-interactive.de/.
Also, there is no need for an default constructor. You can use static methods, now.
Feel free to download the latest Ajax.DLL at http://ajax.schwarz-interactive.de/download/ajax.zip. The examples are available to download at http://ajax.schwarz-interactive.de/download/ajaxsample.zip.
I will add a new list online to add your wishes for the next releases. There will be a bug list also.
Updated: The Ajax.AjaxReuireSessionStateAttribute has been replaced be arguments for the Ajax.AjaxMethodAttribute. There is a new enum: HttpSessionStateRequirement{ReadWrite, Read, None}.