DAX 4.0 Clustering question

"Wouldn't the session manager take care of directing a request to a certain
AOS ?
(I.e. load balancing).When not using the session manager, how is
determined which AOS in the cluster to use ?"

Well: I can only assume that it makes the same as Axapta 3.0 (but better): the client tries to connect to all AOS servers in it's configuration. Each AOS server tells the number of users connected, the client connects to the one with the lowest user count

In Ax 4.0 SP1, the new "session manager" for AOS clustering was introduced (so you do not need NLB anymore). This, however, means a new single point of failure, because if the session manager crashes, clients will not be able to login to AX anymore.
The good news, though, is that you do not need the session manager!

Make the following setup: several instances of AX, mark all with the flag "Make this AOS instance part of the load balancing cluster". In the client config, add all your AOS instances on the various servers. The client will connect to one of the available servers. And the good thing is: this setup will work, even if one or some of the AOS instances are not running (this did not work in Axapta 3.0: there the client would have said that it cannot connect to the AOS server).