There is special code to deal with QuickPicks in Theia for the filters, but not sessions. Hence, the picker always returns undefined.
The code for the three tree is entirely the same and could be refactored to avoid redundancies.
You can assign me to this bug. It needs the labels bug and theia.
I started the work in this branch: https://github.com/phaumer/vscode-extension-for-zowe/tree/fix-add-session-theia
Created this PR for the issue: https://github.com/zowe/vscode-extension-for-zowe/pull/382