ExtUtils::Installed determines what modules have been installed by examining the '.packlist' files created during module installation. If you install CGI::Session via a method that doesn't create a .packlist file, then CGI::Session won't be found by ExtUtils::Installed.

Do you have a .packlist file for CGI::Session ?
On my windows box the relevant .packlist would be found in perl/site/lib/auto/CGI/Session, though it wouldn't hurt to check that Session.pm is not listed in the .packlist one directory back (which would be perl/site/lib/auto/CGI/.packlist on this Windows box).

If CGI/Session.pm *is* being specified in a .packlist, then we need to work out why your script fails to list it - otherwise you have the answer as to why it's not being listed.

Cheers,
Rob