Facebook Analytics funnel changes when adding in "Sessions"

I've tried googling for answers to this. I'm guessing I'm just misunderstanding something fundamental about how Facebook Analytics thinks about funnels. Really appreciate the help as I've been trying to figure this out for a while.

I've constructed a fairly simple example. All data below is real.

Here is my funnel:

Now, I want to add sessions to this. So, I add sessions to the left of "Add to Cart":

When I add Sessions between Add to Cart and Initiated Checkout I get this:

And when adding it between Initiated Checkout and Purchases I get this:

The problem here is that there are no Purchases whenever I try to add in Sessions to my funnel. But when I remove Sessions from my funnel there is a Purchase.

This could be explained by "the Purchase didn't have any Session" I suppose. But, it seems to be weirder than that because when I add Sessions after Add to Cart it seems that all 4 Add to Cart has a Session, but no "Initiated Checkout". But when removing Sessions, the same (?) 4 Add to Cart has 2 Initiated Checkout.

Any explanation to why all this makes logical sense?

I'm using an out-of-the-box shopify Facebook pixel tagging through the shopify online store settings (e.g. using the Facebook pixel ID, no custom scripts). And I figure this should be a fairly safe and well-tested implementation suggesting that the tagging should be fine.

Thank you so much for the help!

Funnels in Facebook Analytics are sequential - the events have to have fired in order for the user to move through your funnel. Example - you have a funnel: "Search > Add To Cart > Purchase". If a visitor searches and somehow purchases without an add to cart event - they won't appear in this funnel (if that's what you want, just have a "Search > Purchase" funnel). If a user searched, added to cart and searched again before making purchase the user will still appear in the funnel (they performed the required events in the right order, plus some extra events).

The Session event is generated at the end of a session, so it's likely this was after the purchase (breaking your funnel) except in the case of where they had multiple sessions.

The Page View event should fire on every page of your website if you've set it up correctly, why not have a funnel: Page View > Add To Cart > Initiated Checkout > Purchase ?