If ~/.gnome2/gedit/plugins is missing when saving a session, the session saver plugin tries to create that folder. But the function call in store.py is wrong:

121     def save(self):
122         dirname = os.path.dirname(self.filename)
123         if not os.path.isdir(dirname):
124             os.path.makedirs(dirname)

should be:
124             os.makedirs(dirname)

Sorry for the cheezy patch, but the fix was to simple to submit something real :)