I fixed the issue. The following needs to be included in the web.config:
<sessionState mode="Custom" customProvider="AFCacheSessionStateProvider">
<providers>
<add name="AFCacheSessionStateProvider" type="Microsoft.Web.DistributedCache.DistributedCacheSessionStateStoreProvider, Microsoft.Web.DistributedCache" cacheName="default" dataCacheClientName="default" applicationName="AFCacheSessionState"/>
</providers>
</sessionState>
This stores ASP.NET Session State in the cache.