Connection to a server has nothing to do with level loading.

But when you have a level on the server, and need to synchronize your level with it, you should reload it first for resetting it to its initial state. Otherwise you might have entities in your client level that don't exist on the server. This is just a logical consequence of running a multiplayer game, and is unrelated to particular commands like session_connect. If your level is already synchronized however, I see no reason why you should want to load it again.