JOB sessions are connections to JOB.
In order to create a session, you first have to create
a JOB factory calling org.job.impl.JobFactory.newInstance().
On the returned factory instance you call newSession().
You probably don't close the factory.
If you don't close the factory,
then your changes are not flushed to the file system at shutdown time.
This holds true for embedded server mode if you do not use transactions.