A guess for this behavior is that it may be returning NULL or something unusable by USE. If you wanted to, you could change the source for the SessionTable method to return something reliably that could be used in a more straightforward way (if that turns out to be the problem). Otherwise just go with assigning it to a variable as you've done...
>use (osessiontable.value("savdirmagazie")+'\dbf\locfile') in 0 shar alias locfile
>When I'm using this expression the message is d:\dbf\locfile does not exists but with:
>dir magazie=osessiontable.value("savdirmagazie")
>use (dirmagazie'\dbf\locfile') in 0 shar alias locfile it works