I use WebYog, but I downloaded the portable version of Heidi and was able to connect without any problem. I took a look at the performance_schema database and I don't see a "session_status" table (not sure where you are defining session_status - but that could be your problem).
Steps I used :
- Downloded HeidiSQL portable.
- Extracted to a folder, ran executable.
- Pressed the "New Session" button.
- Provided MySql username/password for connection.
- Pressed the "Open" button.
Connected, no issue.
EDIT : session tables available in performance schema db.