I think the problem isn't the usage of WCF polling duplex, but Silverlight in general. It supports only a subset of WCF and according to this article reliable sessions are not supported. A quotation:
"More advanced bindings and binding elements, such as the ones dealing with queues, reliable sessions, transactions, message-level security (such as WS-Security), peer-to-peer messaging, and transports other than HTTP, HTTPS, and TCP are not provided in Silverlight 4."