What is session facade?
It is implemented as a higher level component (i.e.: Session EJB), and it contains all the iteractions between low level components (i.e.: Entity EJB). It then provides a single interface for the functionality of an application or part of it, and it decouples lower level components simplifying the design.
Think of a bank situation, where you have someone that would like to transfer money from one account to another.
In this type of scenario, the client has to check that the user is authorized, get the status of the two accounts, check that there are enough money on the first one, and then call the transfer. The entire transfer has to be done in a single transaction otherwise is something goes south, the situation has to be restored.
As you can see, multiple server-side objects need to be accessed and possibly modified. Multiple fine-grained invocations of Entity (or even Session) Beans add the overhead of network calls, even multiple transaction. In other words, the risk is to have a solution that has a high network overhead, high coupling, poor reusability and mantainability.
Obviously you need to be very careful when writing Session Facades, to avoid the abusing of it (often called "God-Bean").