SFSB's are designed for managed client state over multiple calls to the same session bean (i.e. a conversation). If you look at
JBoss Seam, you will see that there is very heavy use of SFSB's for conversation context.
In EJB3, there is no such thing as "stateless is better than stateful session beans". For example, one provides a service like a credit card processor (stateless) and one provides processing for a multi-screen wizard use case (stateful).
Managing state using HttpSession and stateless session beans is very difficult and problematic.
Read about Seam...