It does work in Linux Lite 3.4 just fine. To make it work, save all your work before proceeding...
Open Terminal and copy and paste the following:
cd ~ && printf "xfce4-session" | tee .xsession && xfce4-session-logout --logout
Login again, open few apps and logout enabling the "Save session for future logins" checkbox.
If you wish to clear the Saved session, browse to Settings => Session & Startup - Session tab => Clear saved sessions button.
Hope this helps. Cheers!