Sorry to re-open an old thread, but it was never answered and I have the exact same question for Fedora 16.
I currently have the Desktop spin of F16 installed, and have used yum to add XFCE to it. I have two users on the system.
For one of them it seems to "remember" the last used session type, but for the other user it always preselects Gnome, and I have to manually change it to XFCE every time I log in. Any suggestions on where I go to adjust this please?