You are correct that the validation behavior needs to be added to the confirm page, but you should not be validating the Session collection, you should be validating the form elements
Instead of using the Session variables, expand the checkout form collection on the binding panel, and select to use form elements.
Once you have the server validation set up, you will need to add the validation show if behaviors to the checkout page in order to display validation error messages.
In the validation show if behavior, make sure to set the validation page to the confirm page.
After applying he validation show if behavior, you can set the initial value of the form elements so that entered data that is correct will be remembered.
select each form element in design view, then in the property inspector, click the lightning bolt next to Initial Value, in the binding panel, expand the Validated Entries binding group and select the corresponding binding.