I had this same problem, using Roxio to burn the multi session DVD in a LG GSA-H10A drive it could not be read on another PC. I then tried an external DVD drive on the same PC that did not work either, I then fitted a new Sony drive in the external box and that worked fine. Conclusion is that for some reason multi session only works with R/W drives as both the drives that failed were read only. Both PCs using XP pro.
No, I don't think that last comment that multi-session DVDs can only be read by writers and not ROMs is accurate. My parents' DVD/CD-RW combo drive (which came with their Dell Dimension E520 desktop does NOT read my DVD multi-session disc which has not been finalized yet. It only sees the first session in Windows Explorer.
But I am glad I saw this thread because it was really helpful for my problem. Thanks everyone!