In order to use the session save command in lldb, you need to enable the session “recording”:
1> :set show interpreter.save-transcript
interpreter.save-transcript (boolean) = false
1> :set set interpreter.save-transcript true
1> :set show interpreter.save-transcript
interpreter.save-transcript (boolean) = true
However, after running the command, it does generate the transcript file but only contains the lldb commands run (the ones starting with :), not the expressions that were evaluated in the REPL.
My guess is that the session transcript functionality hooks into lldb’s command interpreter whereas the swift real uses the expression evaluator APIs directly, bypassing the transcript save functionality. If you’d like to see this feature working please file an issue.