mode="SQLServer" for sessionState
When you choose your sessionState to be SQLServer, ASP.Net uses the default DB and initial catalogs for storing your session information into SQLServer... That is the reason you are not allowed to pass tokens such as Database and Initial Catalog in the connection string... Finally your entry in the web.config file will look like
sqlConnectionString="server=127.0.0.1;uid=<user id>pwd<password>" />
user id and password can be replaced by integrated security settings...