If you are configuring HAProxy to be a reverse proxy for a set of web sites, it won't care about the session information. A reverse proxy doesn't need the session data for anything, it's just forwarding the traffic along.
The actual site/application is what manages the session data. This is also what you would configure to store session data in Redis.
For example, if I have HAProxy in front of Tomcat. Tomcat is running my Java app. Tomcat is what stores session data. Tomcat is what would talk to Redis to make sure session data is safely stored in Redis.