Include a sessions folder?

If its not optimal to include a folder, then sessions should just be turned off by default.

It is Off by default and has never been On.

And add a couple of lines to the config with example paths for a session files folder. Even in the manual on the session library page there are no examples of how to do this.

Examples for what exactly? A directory path that is almost guaranteed to exist and be usable? Unless you're the only user on the server, all such paths are inherently insecure.
Unless you're suggesting a random path that the user would have to create, there is no viable example.

The user guide has one job in this regard - to explain what you need to consider - and it already does that.