Hi Louisa,
It's possible they all selected afternoon. Check their fields by looking at a smart list where Session IS NOT EMPTY for people who Filled Out Form IS "X". Then change the View to display Session field.
I suspect, however that there may be an issue with how you formatted the Select box, so go in there and look at the values on the left and right to make sure they are correct. The Right side is what Marketo sees, the Left is what the user sees.
Did your flow properly parse the values? I imagine you had a campaign that said:
Fills Out Form IS X, then IF Session=Morning, Change Status in Morning Program, IF Session=Afternoon, Change Status in Afternoon Program.