That's because the session isn't stored in the database by default in Mendix 2.5. This will improve the performance of login calls and keep-a-live calls (especially relevant for huge amounts of concurrent users).
You can configure persistent sessions by setting the persistentSessions configuration option to true.
See the Mendix 2.5 deployment on Windows how-to for details about setting these configuration options.
Well it works with:
PersistentSessions = true
with a capital P :-)