Hi.
We had the exact same thing happen -- a customer ran a security audit and flagged the ability to do parallel sessions for the same user without any warning or notification as a potential security issue.
We ended up filing an ERQ for this, to add configuration properties to the product giving me the ability to either prevent this from happening, or getting a notification to the first session, something along the lines of "a parallel session for this user has just been opened on a different machine".
This would, I'm pretty sure, involve a major change in the session management (plus a few details such as how would you expect the MSP / OpenWorkbench integrations to react, since they also log in concurrently and I wouldn't want to interfere with that!). So I'm therefore not really confident that a solution for the ERQ would be forthcoming in the near future. I can't give you a current status update on the ERQ - I'd assume it's working its way along the normal queue.
Daniel
P.S. The only "hack" workaround I could think of is to monitor the session table in the database for duplicate sessions for the same user and, if you detect one, simply delete or expire the oldest (or newest) session. That would probably be a non-supported customization, though, and might get you into other problems. So I can't really recommend it.