Yii uses the standard PHP session system, no magic. Must be a problem with your setup. Did you try with a script outside of Yii but in the same directory?
I moved the action to set the session variable and the action to read (the same) the session on the same Controller (before they were in two different controllers). Now it is working. (I can read out what I set.) I don’t know if this makes sense.
if you are using path url style check session cookie params… the controller/action url can be treated as path for session cookie. It is just a guess but it could explain why it is working with same controller (same url path, only last part interpreted as filename change) and not with different controllers (different url paths)