You leave it blank in MODX to use what is configured in php.ini for session management. You can configure any valid PHP session_handler here, or you could extend modSessionHandler to override it's behavior, providing your own class.
Using the standard files session handler from PHP can be faster than DB session management, but you will be completely dependent on your php.ini settings in this case.
Thank you very much for your answer, actually you are right: the site seems to be faster.
I'll go on testing a little more,
thanks again