Well it's got me buggered! You seem to have tested everything...
Only thing I can come up with is to double check you code in Page1.. Perhaps just try outputting the session variable in page 1 rather than doing another redirect just to see if its there.
I mean you just tested it in thats simple example, so it should work!!!
If all else fails, how about adding your existing code to the new example pages you just made, a bit at a time, until it doesn't work.. Perhaps that way you will find the problem??
Good luck!!!
Andrew