My statement just assumed a normal setup due to lack of further information. A portable setup uses the Data folder, with exactly the same structure as the ones in user profile do.
Auto Save Session.sublime_session is created regularly while ST is running to ensure having a backup to role back if writing session.sublime_session fails.
That file not being present normally means ST closed normally before without any indication of saving the session file having failed.
If ST crashed during session file writing, the Auto Save Session could still be used to restore information.
There were some issues with automatic updater, which caused session file to currupt during ST upgrades, but those have been fixed in ST4.
Actually, I’ve never experienced any issues with the session file on Windows during the last 10 years of using ST, except in situations my disk ran out of space.
That of course doesn’t mean it can’t happen to others, but it is most likely related with external reasons such as hardware issues, permission issues or antivir programs blocking ST from doing its job.
Hence I wouldn’t second the statement of ST being a risky application.