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I don't have any sympathy for Sessions. What I saw was a man who was in a catch-22. It appeared he had direct orders from Trump to keep his mouth shut, but Trump was not willing to provide him with any cover\protection. Sessions, and I assume most of Trump's direct reports, understand they must stay within laws\rule, but they witnessed first-hand things trump has said or done that directly violate laws\rules\ethics, and Trump does not give a flying frisbee, yet expect everyone on his team to back him up no matter what.
IMHO, Sessions wants to be the loyal soldier but is very afraid that Trump's actions past\present will send Sessions to jail, while Trump, as president, has 100% immunity from all crimes. Session and others on the Trump team could be convicted of crimes, sit in jail for several years, while Trump is playing golf at Mar-a-largo making Billion $$$ deals with new friends in foreign countries. They don't want to betray Trump because Trump is their only hope for a pardon if they are caught in the FBI dragnet.
Trump maybe bullet proof and taking full advantage if his immunity knowing the FBI can't convict him of even littering, but the FBI can take out everyone around him who know illegal things are being done at Trump's direction. His staff don't inherit his immunity by proxy. They won't be dissolved of responsibility by saying "I was just following orders".