No, you can't store sessions in the Performance Warehouse Database.
However it is normal that your disk is getting full! In the Server settings -> Storage dialogue you can specify the size allocated for sessions storage, appmon will then fill that space and discard old data once it is full. If you don't specify the autos appmon will almost fill you disk (I think 95%), and then it starts discarding old data as well.
So just specify an adequate quota in the settings and you will be alright.
The Performance Warehouse Stores measures for long term analysis. If the data you need for 3 month is time series based / can be represented with measures you are fine.
The PurePath with all Transaction details are stored in the Session Storage. If you need them for 3 Month you need to give your server an adequate amount of disk space. How much depends on the number of agents and transactions.
What kind of UEM data are you talking about? It again depends:
The details like User Action PurePath are stored in the session storage, but if everything there is a measure for is available in the PWH.
A great part of the UEM data in the Webinterface for example relays on PWH data.