How to combine .sesx files or paste clips from one file to another?

This may be a nomenclature issue. Adding the contents of one file to another is easy - that's concatenation, but that's not what you appear to be talking about. A file that's open in a session is 'open' in the sense that it's in the file list. If you have two or more sessions open at the same time (which you can), there's nothing to stop you placing that file in any of them, wherever you like. Your only limitation here is that it will be the entire file that's placed - unless you convert the parts you actually want to unique copies - so you'd have to trim it in each session. The limitation that Sesx2Sesx gets over is simply that of being able to concatenate sessions. So the ability to move individual files between sessions already exists, but the files don't exist as entities within them, ever; all that's in the session file is references to the one you recorded, and an indication of which bits of it you want to use.

When you recorded your original files, you did this in Multitrack, yes? That will record a file direct to disk, which is a sensible way of doing it. But how did you edit those files? If you edited them in Multitrack, you didn't 'edit' them at all in the correct sense of the word at all, because it's essentially non-destructive; you can only make permanent changes to the files you recorded in Waveform view, because that's a destructive editor - once you've made the changes, they're permanent. Edits in session files don't touch the originals at all.

Actually it's not a particularly common requirement at all, which is why sesx2sesx exists. Also you should note that Audition specifically allows for 3rd party apps to run with it - if individual developers create these as needed, it enables the Adobe developers to concentrate on the core functionality (which is what all the big ticket users are after). So I don't think you should be shocked at all - you should be grateful!

Incidentally, a session file doesn't contain any other files at all. All it contains is information about what to do with the files it references. What sesx2sesx does is enable you to concatenate those. The reason that it's comparatively rare to want to do this is because the vast majority of users only run one session at a time.