Why I am not allowed to set the last day of the session as an OKR deadline date?

If no other preferences are being specified when setting OKRs, they will automatically inherit the session’s timeframe and time zone.
Sometimes, you need to hit a particular key result prior to the common deadline (Session last day).
In the Deadline field, you can set a soft and/or hard deadline if the target needs to be hit before the session’s end date

If you want to learn more for Key result deadlines, have a look here:
​https://help.quantive.com/en/articles/630350-key-result-deadlines