SQLAZURE Resource limitations-Max concurrent sessions
When a task goes parallel it is still considered a single session with multiple request.

Hopefully the following will clear you confusion about the 2 metrics. I 

Ref: https://social.msdn.microsoft.com/Forums/en-US/c073c554-03a3-43b5-9052-4de63d1f44d7/logins-versus-sessions?forum=ssdsgetstarted

Lets say you have 10 developers working on your app and they all connect to Azure SQL using SSMS. They will create 10 concurrent logins and 10 sessions in Azure SQL.

Now let's say that your app is using one login for connecting to Azure SQL and you have 100 concurrent users on your app. This will create one concurrent login and 100 concurrent sessions in Azure SQL.

If you want to baseline your concurrent session this is a great article. You might have to tweak it for Azure SQL Database.