SYMPTOM:
"Cannot connect to the Strategy Intelligence Server: Object reference not set to an instance of an object" occurs when loading Strategy Web Part 9.0.2 in SharePoint 2010.

CAUSE:
HTTP Session State is not correctly configured in SharePoint Portal Server.
ACTION:
Please follow Portal documentation to Enable HTTP Session State in SharePoint Portal Server 2010. The following screenshot is taken from Portal documentation for SharePoint 2010.
