The following precautions should be taken in order that SQLSERVER Mode work properly.
1) In SQLSERVER session objects will be stored on a different machine which requires serialization. Objects which are serializable can only be stored on a SQLSERVER state server
2) In SQLSERVER session mode objects are encrypted using the machineKey specified in web.config. It should be same across all the systems
3) IIS metabase (\LM\W3SVC\2) should be identical across all systems in a web farm