Add ReturnDiagnostics to Session Constructor

Proposed changes

Add ReturnDiagnostics to Session Constructor using template session.

[x] Bugfix (non-breaking change which fixes an issue)
[ ] Enhancement (non-breaking change which adds functionality)
[ ] Test enhancement (non-breaking change to increase test coverage)
[ ] Breaking change (fix or feature that would cause existing functionality to not work as expected, requires version increase of Nuget packages)
[ ] Documentation Update (if none of the other choices apply)

[x] I have read the CONTRIBUTING doc.
[x] I have signed the CLA.
[ ] I ran tests locally with my changes, all passed.
[ ] I fixed all failing tests in the CI pipelines.
[ ] I fixed all introduced issues with CodeQL and LGTM.
[ ] I have added tests that prove my fix is effective or that my feature works and increased code coverage.
[ ] I have added necessary documentation (if appropriate).
[ ] Any dependent changes have been merged and published in downstream modules.