I have this code:

DS.PRG
Return CreateObject('DS')

Define Class DS as Session
  Procedure Init()
    ..... Open Some Files
    ..... Set Some Relations and Orders
  EndProc

  Procedure Destroy()
    Close Tables All   && I put this in just to see if the object was being DESTROYed
                       &&   I know it's not needed.
  EndProc
EndDefine

SomeForm.Method()
  local lo
  lo = DS()
  Report Form WhatEver

When lo goes out of scope, the DATASESSION doesn't close, or return to the SomeForm.DATASESSION.

If I do it from the command window:
go = DS()
Release go

the DATASESSION created USUALLY releases, but not always.

TIA