How to implement Session Management on SQL Azure in 2016?

Yes you should use Azure Redis. I'm not sure why sql would be more straightforward than using Redis. Using Redis is as simple as pulling in the nuget project and making the addition to the web.config to configure the session state provider as your azure Redis instance you have created. From there you can start using the Redis libraries.

 <sessionState mode="Custom" customProvider="RedisSessionProvider">
  <providers>
    <add name="RedisSessionProvider" 
         type="Microsoft.Web.Redis.RedisSessionStateProvider" 
         port="6380" 
         host="YOURCACHE.cache.windows.net"
         accessKey="Primary Access Key" ssl="true" />
  </providers>
</sessionState>

public class HomeController : Controller
{
    public ActionResult Index()
    {
        object value = Session["Home"];
        int result = 0;
        if (value != null)
        {
            result = (int)value;
            Session["Home"] = ++result;
        }
        else
        {
            Session["Home"] = 1;
        }

        return View();
    }

    public ActionResult About()
    {
        object value = Session["Home"];
        string home = "Didn't work";
        if(value != null)
        {
            home = ((int)value).ToString();
        }
        ViewBag.Message = string.Format("The cache value is {0}", home);

        return View();
    }
}

Here's a link on how.