I would doubt it is the session id, as that is normally a (pseudo) random string. They could possibly maintain a database of proxy IPs they do not trust, perhaps?
Maybe the ban doesn't relate to PHPSESSID.
Tested many proxies from http://www.hidemyass.com/proxy-list/, mostly ones listed as 'new', and they all result in the same message about the guest being banned.
The proxies have been tested on one true IP address so far. I wonder if they really banned all of those proxies, or if they are somehow detecting that it's the same source using the proxies.
Would anyone know anything about this?