Please check the cachename in your cache client configuration.
<system.web>
<sessionState mode="Custom" customProvider="AFCacheSessionStateProvider">
<providers>
<add name="AFCacheSessionStateProvider"
type="Microsoft.Web.DistributedCache.DistributedCacheSessionStateStoreProvider,
Microsoft.Web.DistributedCache"
cacheName="default"
dataCacheClientName="default"/>
</providers>
</sessionState>
</system.web>
It should be default or another cache created on the server.
Please refer to this link for configuring Azure Co-Located Caching.