there are multiple sides of the story.
The original recommendation stands for SQLite, which doesn't handle at all 
concurrent writes. Given scheduler does a lot of it, a separate database is 
warmly advised to prevent locks on the main app.
You're allowed to separate databases (hence, connections) as long as you 
don't need to orchestrate transactions between them
You can hope for better performances with separate databases, as long as 
they don't live in the same server: if they do live in the same server, the 
same "pressure" is applied to the database server host.
When you "split" connections, a little overhead to establish the connection 
in the model is added.

I'd say that from a technical standpoint, sessions CAN be moved to a 
separate database, because they are logically separated from any other 
table.
If you're looking for performance improvements over sessions though, I'd 
highly recommend the redis store which is a gazillion times faster and 
lighter on the host.

-- 
Resources:
- http://web2py.com
- http://web2py.com/book (Documentation)
- http://github.com/web2py/web2py (Source code)
- https://code.google.com/p/web2py/issues/list (Report Issues)
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