I think the his assignment was to cozy up to Candidate Trump and gain his confidence, so much so that Session could ask for the AG and out of gratitude Trump would appoint Sessions which he did.
It makes no sense for him to refuse to even consider prosecuting Hillary otherwise.
I have to admit I was completely fooled by Sessions. I thought he was one of the good guys.
Should have been a hint when he let Lois Lerner walk.