All from the spec:
6.3.2 Because session objects do not have primary keys that are accessible to clients, invoking the javax.ejb.EJBHome.remove(Object primaryKey) method on a session results in the javax.ejb.RemoveException.
6.4.2 Because session objects do not have primary keys that are accessible to clients, invoking the javax.ejb.EJBLocalHome.remove(Object primaryKey) method on a session results in the javax.ejb.RemoveException.