Problem: You go to System->Preferences->Sessions to add a new program to the startup and the program seems to be added, but when you re-open System->Preferences->Sessions the change did not happened, thus the program is not in the session list.
Solution: There is a permission error in the .config file. Execute the following:
sudo chown -R username:usergroup /home/username/.config/That's it.
Replace username and usergroup with your username.