Interactive Report Subscriptions not working - the SESSION_ID referenced is purged?

We are trying to see if the Subscription option from an Interactive Report will give us what we want.

What we are seeing is that it works for a bit and then stops. We are trying to work out if this is something we're doing wrong or is there a flaw?

I am seeing that when I do this:

select application_id, page_id, report_name, session_id, owner, email_address, email_subject, start_date, notify_interval, status, created_on, created_by, last_updated_on, last_updated_by

from apex_application_page_ir_sub;

I see the subscriptions. I look at the SESSION_ID column in there. It seems to be the Session ID that initiated the first Subscription. I believe that when the Subscription is executed, that Session ID is duplicated for the IR Subscription to run - that'll preserve the session values I suppose - anything that might be used in the query (this is what we're testing!)