I've been up to the festival a few times and as far as I am aware there is not much of a "session fringe" other than the official Festival Club, which costs £8 a night entry, and in there different things might happen down in the lower bar whilst various official artists turn up to play in the upstairs room. It might be worthwhile asking your question on the Footstompin forum, which is a Scottish music site and seems to have much more chat generally about Celtic Connections.

Footstompin