The Lo value is stored against the SessionFactory, not the Session. You only ever get gaps when you restart your application and create a new instance of the SessionFactory.
A new Hi value is pulled from the database and stored in the SessionFactory, so if you have a web farm, each site will have it's own instance of the SessionFactory which will each have it's own 'next' Hi value from the database. When it runs out of Lo values it will update the Hi to the next available Hi from the database.
Edit:
If you have client applications then I would recommend not using HiLo at all, instead use a GuidComb, it's a sequential Guid and you wont have an issue with gaps.
Since it's an existing app however and you can't really go changing the identifier, I would recommend requiring the client applications to insert via a Web Service which has it's own SF, that way you can maintain a single Hi instead of multiple Hi's per client app.
If you can't do that then you're going to have to lower your Lo.