This configuration should work:
With the configuration seemingly correct, there are two main causes of users losing sessions:
A bug in Mendix is possible, but unlikely. Therefore, I would investigate other causes, such as a setting which allows only a single session for a user and how the users actually use your app.
For additional help debugging, could you post a part of your log file – anonymized if so required – so that we can see how and when sessions are created and destroyed?