If you follow Sitecore's official documentation about setting up a Private Session State Database, you may notice the first "Note" at the top of the article...
Currently, among the developers I've talked to, the consensus is that MongoDB doesn't perform as well as SQL for Session State. Does this mean your stuck using MongoDB as your session store?
It seems the answer to that is "no". You are officially allowed to use whichever one you want. Sitecore just hasn't gotten around to updating their docs yet.
It took me a minute to find this, so I figured I'd repeat it and make it a little more visible until the documentation has been fixed.