Maybe there is a typo in the docs, because you need to manually assign the DI to the Bag, or build a bag from DI to automatically assign it. Usually the session bags are used by accessing the "persistent" property in classes that extends Phalcon\DI\Injectable:
<?php
class UserController extends Phalcon\Mvc\Controller
{
    public function indexAction()
    {
        // Create a persistent variable "name"
        $this->persistent->name = "Laura";
    }
    public function welcomeAction()
    {
        if (isset($this->persistent->name))
        {
            echo "Welcome, ", $this->persistent->name;
        }
    }
}
Or
$user       = new Phalcon\Session\Bag();
$user->setDI($di);
$user->name = "Kimbra Johnson";
$user->age  = 22;
Or
$di['user']  = function(){
    return  new Phalcon\Session\Bag();
}