Your hosts configuration is at fault here.
It's not that it's wrongly configured. It's just the way they have it setup. You can contact them and see if they can correct the issue to your liking but until then, you're going to have to modify the code to add the sessions save path.
I'm not going to argue who's right / wrong here. Go install any other program requiring sessions and you'll most likely find that some extra work will be required on your part.
Maybe in the future we can implement better sessions handling but at this point in time, 99.8% of our user-base has no problem with sessions. Besides, I already pointed out the code patch you must apply. It's not like I'm slamming doors shut here.