There is always a default session, which is used when you run the supplied LispWorks image.
When you run any other image directly, including a saved session or an image you created with save-image, it runs itself (not the default session).
Saved sessions are platform and version specific. In particular, a 32-bit LispWorks saved session cannot be the default session for 64-bit LispWorks, or vice-versa.
LispWorks User Guide and Reference Manual - 21 Dec 2011