In a Virtual Machine Scale Set (VMSS) setup in Azure Cloud with a load balancer, session management becomes crucial for ensuring a smooth and efficient distribution of traffic among instances. Azure Load Balancer operates at the Transport Layer (Layer 4) of the OSI model and supports two main types:

1. Azure Basic Load Balancer: It routes traffic based on network information such as IP address and port. For this type of load balancer, session persistence or sticky sessions might not be directly supported.

2. Azure Standard Load Balancer: This provides more advanced traffic distribution options, including Layer 4 and Layer 7 load balancing. With Standard Load Balancer, you can achieve session affinity by configuring backend pools and defining session persistence settings.

Here are some considerations for session management in a VMSS integrated with a load balancer:

1. Session Affinity or Sticky Sessions: Ensure that subsequent requests from a client are directed to the same backend instance to maintain session state. In Azure, this can be configured using the load balancer's session persistence settings.

2. Configuration: Configure the load balancer's backend pool settings to maintain session affinity based on client IP addresses, cookies, or other identifiers. This can usually be set up through Azure Resource Manager templates, PowerShell, Azure CLI, or the Azure portal.

3. Health Probes and Autoscaling: Define health probes to monitor the status of backend instances. This ensures that only healthy instances receive traffic. Coupled with autoscaling configurations, new instances can be spun up when needed, and the load balancer will distribute traffic accordingly.

4. Backend Instance Configuration: Ensure that your application instances are configured to handle session persistence or shared session states, especially if your application spans multiple VM instances.

5. Testing and Monitoring: Regularly test your setup to ensure that session management is working as expected. Monitor the load balancer metrics, VMSS health, and application logs to identify and resolve any issues promptly.

Remember that the exact configuration might vary based on your specific use case, application requirements, and the type of load balancer being used. Azure's documentation and support resources can provide detailed guidance based on your setup and requirements.