Why is it not allowed in Session Bean is explained by Specs:
The container must ensure that only one
thread can be executing an instance at any time. Note that a session object is intended to support only a single client. Therefore, it would be an application error if two clients attempted to invoke the same session object. One implication of this rule is that an application cannot make loopback calls to a session bean instance..............
SCJP, SCJD, SCWCD, SCBCD, SCEA