UPDATE
The fix has now been released as part of version 2015R4 of Rebex components.
This is indeed a bug - thanks for bringing it to our attention!
We will fix this in the next release. In the meantime, please use the following workaround:
SshSession session = new SshSession();
bool isConnected = (session.Socket != null) ? session.IsConnected : false;
Console.WriteLine("IsConnected: {0}", isConnected);