[SPARK-47347][PYTHON][CONNECT][TESTS] Factor session-related tests out of test_connect_basic

### What changes were proposed in this pull request?
Factor session-related tests out of `test_connect_basic`

### Why are the changes needed?
for testing parallelism

### Does this PR introduce _any_ user-facing change?
no, test-only

### How was this patch tested?
ci

### Was this patch authored or co-authored using generative AI tooling?
no

Closes apache#45472 from zhengruifeng/add_test_connect_session.

Authored-by: Ruifeng Zheng <ruifengz@apache.org>
Signed-off-by: Hyukjin Kwon <gurwls223@apache.org>

Author: zhengruifeng

dev/sparktestsupport/modules.py

@@ -995,6 +995,7 @@ def __hash__(self):
         "pyspark.sql.tests.connect.test_connect_basic",
         "pyspark.sql.tests.connect.test_connect_function",
         "pyspark.sql.tests.connect.test_connect_column",
+        "pyspark.sql.tests.connect.test_connect_session",
         "pyspark.sql.tests.connect.test_parity_arrow",
         "pyspark.sql.tests.connect.test_parity_arrow_python_udf",
         "pyspark.sql.tests.connect.test_parity_datasources",