no, all that does is to create a dynamic data binding, it does not actually create a session variable.
on the server behaviors panel click the plus button, and select eCart -> General -> Set Session value.
set the trigger to use recordset rsDeliveryFee Not Empty.
set the name to deliveryFee
click the lightning bolt next to value and select the fee column from the recordset.
to create the shipping rule, you need to edit the ecart Object.
go tot he shipping tab and create a new rule.
Set the trigger Session Variable exists deliveryFee
set the calculation to a flat rate chage of '$_SESSION['deliveryFee']' (without quotes).